Personally I just have it all stored on another HDD that is accessible by all of my OS'es.
As for privacy, it depends on whether you have a single user account or multiple accounts.
If it's single, you can set a particular folders attributes to 'hidden' (r-click on folder > tick Hidden)
To view the contents, press ALT in the explorer window to bring up the menu:
Tools > Folder Options > View and tick/untick Show hidden files and folders
The downside is you will have hide/unhide the folder every time you want to view it's contents.
Otherwise you can just hide the folder within another folder and hope no-one goes snooping.
If it's for multiple accounts, you can select which accounts can and cannot 'view the folders contents' by selecting the account you wish to block:
Properties > Security > select which user > edit and in the deny box, tick List folder contents
