I have added a privacy notice on the bookmarklet page. It reads:
“Because of the hosted nature of this bookmarklet (hosted on the Mapanui.com server), please be advised that Mapanui is able to see where it is being used, as it is called from the referring site (the site with the address you want to map). We are not able to identify you, nor do we use this referral information at all. But if you feel uncomfortable with this, then please don’t use the Mapanui bookmarklet.”
I felt that I should let users know before they use it. This is the same for any bookmarklet, be it Microsoft Oomph, or Evernote or whatever.
I also added a UserVoice feedback link and a ShareThis link.