When you register a domain name, you need to provide contact information. This information is passed to into a database of all registered domain names. This is called the WHOIS database. You can search this database to find out who owns a domain name. GoDaddy has a tool and so does ICANN. ICANN is the organization that oversees certain Internet functions.
Much like other databases available on the Internet, you may not care that your contact information is known. However, you might not what this information knows for privacy reasons or just to reduce the amount of SPAM you receive. So, you can have your contact information made private. Many domain registration company charge for this service but some don’t.