In terms of private risk - well, bam. They're OS manufacturers. If they want to screw you, you're screwed. Do either of them seem to be in the habit of screwing their customers? I don't think so. Again, I might be wrong.
I think, in terms of private vulnerability, if you're seriously concerned with that, then you have to start off with the assumption that your device is a traitor. I remember back when we were playing around with using phones microphones to eavesdrop on people even when the phone was turned off. You've got a snitch in your pocket - if you want to do something private from the people who made it, leave it at home.
All that being, from my point of view, more or less equal then - (and I'm open to feedback on any of this since I'm not religiously tied to either option.) I'm currently leaning towards Windows Phone. It looks like it has a really nicely thought out interface.
A lot of it will depend on which keyboard is better. That was the reason I opted for an android for my first phone - that it had the ability to change keyboard if I didn't like it.
Windows Phone's weakest points are probably the designs of its handsets and the app availability. But I don't use many apps anyway, and the hardware, IMO, isn't worse than iphone, it's just not as good as the best of android.
The things that might lean me more towards iphone is that I want to get a tablet at some point - and I've not seen any good Windows 8 Tablets. If I'm going to be curling up in bed for some reading, I don't really want something that's heavy and hot. It's gonna be easier if my tablet and my phone are both on the same system.
It's far from a perfect solution, whatever I choose. Android has, it seems to me, the best overall experience across tablets and phones, but the pushiness of Google's a deal killer. Windows has the best phone of the two remaining (and according to some of my girlfriends the best phone experience overall anyway) and Apple seem to have the best tablet of the remaining two.
I'm not strongly tied to any option at the moment though. I might even end up getting a Linux device - though the fact that they run on Android hardware which ties back to google is troubling.
Anything that you'd recommend?