They are not expert navigators. Imagine looking for a book in a library as big as Bank One ballpark, but with no librarians. That's what it is like for many people who try to find information online. It is easy for them to get frustrated and angry when your site doesn't take them by the hand and lead them to the right place. They may like to look at visually exciting sites, but that isn't what makes most of them come back.
People bookmark a site because it provides what they want, and makes it easy to get.
They are jealous of their privacy. Imagine a customer comes into your retail store. Of course not. That would be rude. Treat them with consideration and courtesy, just like they were in your store.