Private Domain Registration vs Public Domain Registration
When you purchase a domain name at a registrar, such as GoDaddy, you give your name and address. This information is then available to anyone who does a WHOIS lookup on your domain name. In fact this is quite a useful technique for getting in touch with webmasters that you want to do business or exchange links with.
But what if you don't want your home address to be available like that? Can't you just give a fake address? Sure, in theory and usually in practice. However, if the Internet Corporation for Assigned Names and Numbers (ICANN), the official controller of domain names, decides to mail you a confirmation to see if you are at the address you say you are, and you don't respond, they can technically delete your domain name.
So a better option is to purchase private domain registration. This is an additional price, generally similar in price to a domain name. Many registrars will offer this service. Here's GoDaddy's.
Do keep in mind though that there are some schools of thought that Google has access to WHOIS information, and if you are trying to hide you may be a spammer. As a result, they might not reward you with high search engine rankings as opposed to someone who is open and honest about who they are. This isn't firmly established at this time, however.