Casino Club Cards? Worth it or not?

After reading through many discussions about signing up for casino's Advantage Club cards, I'm now having second thoughts about if I should have got one or not. If you play quite often, getting comps can be quite nice. However, if having them know your personal info (Upon registering for a card) is too risky for your own playing longevity, I'm starting to regret I ever got one.

Some opinions on this would be appreciated.