Update (Jan 8, 2019)
This is now 8 years old, but still getting occasional upvotes/attention, so I thought it's worth giving a summary of the current state. Despite originally being status-declined, over the last decade some changes have made the privacy implications much clearer. You now click "share" instead of "link", and the pop-up is very explicit that the link includes your user ID.
There is a feature request asking that this user ID be anonymized or hashed, to allow users to earn publicity badges (the intention behind having the user ID present in the URL, as per Jeff's reason for declining this) while eliminating the privacy issue.
It seems to me there is something of a privacy leak when permalinking to a question. For what I would assume is the purposes of tracking which user is responsible for bringing traffic back to an SE site (for badges, etc.), the user ID of the user obtaining the permanent link is included in the permanent link itself.
I wouldn't argue that this shouldn't be the case, but I find no warning or mention of this when I do these actions. I'm sure I'm not the only one that doesn't desire anonymity on SO but would like at least pseudonymity on some places I might share a SO link, such as on a random blog.
As a user, I would not expect sharing a permanent link to leak my identity. Unless you are familiar with Stack Exchange links or your own userID, it's certainly not obvious by looking at the link that it includes your personal info. It'd be nice to have fair warning that using that feature will do so, and perhaps provide/describe the workaround: to simply remove the user-id segment from the URL. Other features would be a preference that formats future permanent links to exclude the user id.