By which, he later clarifies, he means nothing you'd not be willing to defend and stand for--no matter how unpopular--under scrutiny.
1. There are no secrets.
2. Don't say anything to anyone anywhere that you don't want to hear Dan Rather read on the Six O'Clock News.
More elucidating are Kathryn Cramer's remarks about tracing IP addresses. (I happened to witness in real-time K. C. being swarmed by LGF trolls and thought that she dealt with them with impressive professionalism, given the largely apolitical nature of her blog.) What Kathryn points out is that every time one leaves a comment on a blog, one usually also leaves one's IP address. This address can usually be cross-referenced against an online blog or email address. Once an IP address has been definitely linked to an online handle, the online community can ostracize you or, under various and so-far nefarious proceedings, can out you under your real name. Every time you register a comment from your home computer or a log-in network, no matter how pseudonymous your online persona, you are leaving a trace that could be followed, should someone choose to do so.
Again, should someone choose to do so. Most of us are safe--statistics, after all, are on our side. But we should not get complacent; the nature of privacy is changing, and many of us are making our private lives public before we really understand what havok publicity can make of us. A little old-fashioned paranoia would not do the blogosphere any harm at this point.