Generally I’m in favor of government records being very transparent and freely available to the public. I’m a big proponent of the Freedom of Information Act. But I do believe the public interest is best served by keeping some information private. I would not like to see IRS returns made a matter of public record, for many of the same reason I disagree with making gun licenses public record; it lets people who want to steal valuables or firearms know which houses have them.
I also think in may-issue systems, there’s a public interest in knowing whether licenses are being handed out as political favors to the connected and powerful, which I believe might override anyone’s privacy interest. So if people in may-issue states wants privacy, pass shall-issue laws, and then I’ll be fine with keeping the records private, since I know that licenses are being handed out according to statutory criteria rather than based on the whim of a politician or bureaucrat.
A good example of how I think about privacy can be found in David Brin’s book The Transparent Society. It’s a great book to read, and will change your ideas on privacy and open government.