Well if the site is not secure people can look through your information and get your credit card information. They may use this information to buy other things on the Internet. People get this information buy using packet sniffers, which are not illegal unless they use your credit card information. The packet sniffers work a lot like police scanners do. They kind of pick up everything and you have to tune it right to get the information which you are looking for.
Some software looks specifically for credit card information.
The secure sites have encryption software that blocks the packet sniffers. Another issue with privacy on the Internet is people monitoring the sites that you visit and turning around and selling that information to other companies. Like AOL for instance will take the sites you visit and get a profile on you and then sell that profile to companies so that they can send you advertisements. While this practice is a little unethical it is however completely legal. It is a lot like sites paying search engines to put their names at the top of the list when you search for stuff.