You certainly wouldn't want a client's secrets revealed or your off-color joke to be read by the wrong person. As with e-mail, faxes are not always private. The intended recipient may not be the person retrieving the fax. Some offices are huge, with many people that have access to the fax machine. If faxing to public places like hotels, always leave out any sensitive information.
Cell phones are a great way to keep in touch while traveling.
Don't expect those around you to selectively hear what you are saying. It's up to you to ensure they won't hear something that they shouldn't. Privacy is not just an issue for road warriors, however. The overriding rule of thumb when it comes to business privacy is to always be careful where you hold a conversation or when you communicate. You never know who may overhear you.