What is the privacy that should be kept between husband and wife?

This is for both men and women :

Don't complain about every other issue or fight you both have/had with each other to anyone, especially parents. Remember, you are in marriage, not playschool. Fights and disagreements between a husband and wife are common. No one will be able to resolve your issues, but they will start disliking or hating your spouse because they will think you are suffering because of your spouse.
Don't criticize your partner or make their fun or fight with them or insult them in front of anyone. Just like you make love in the privacy of a closed room without indulging third party, same way resolve your issues in the same way.
Don't discuss their shortcomings or mistakes in front of anyone. You can fight when you two are alone, but for the world you should be one team.
If your partner is going through a rough patch, health or finance wise, support them instead of singing about their weakness and their bad times in front of family and friends. They will do nothing but laugh on you and your partner.
Sex life. No, you should not discuss about what you two do inside your bedroom, the quality, the quantity, their shortcomings or whatever. I had a friend who always used to update me what was happening between her and husband inside the sheets, which made me terribly uncomfortable. I had to cut her out of my life for this sole reason.
The financial matters. Both man and woman should understand that they are married and they should take care of their money by themselves instead of asking their family, neighbors, colleagues, relatives or friends. The two either have or will soon have children, and they're mature enough to handle their finances. If not, they can take help of financial advisers or educate themselves. I have seen grown up men and women running to their parents even after marriage and having kids for financial management and decisions. This much dependence on other people in adulthood according to me is seriously unhealthy.
Investments. Again, what is invested where should be kept confidential between husband and wife. If you're hiding such stuff from your spouse but trusting someone else and updating them about these things, trust me you'll regret later in life. Especially when you have dependent children.
Matters regarding children. Indian parents have a habit of discussing about their children with anyone and everyone. Either their bad habits or good habits. I understand that we cannot stop it completely, but we should try to keep it at very minimum. In both cases I have seen kids getting negatively impacted. Either they go in self doubt or get arrogant. So it is better that the husband and wife should keep their children's affairs mostly to themselves and focus on good upbringing and education. No one cares and loves your children more than you do.
If you're having any problems with your in-laws, it is better to only discuss with your husband or wife, instead of cribbing about them in public. If your partner will come to know that you were talking ill about their parents or siblings in public, they'll instantly lose respect for you.
Same way, if your partner is saying something about your birth family, listen to them and try to understand them and resolve the issue. Don't tell your birth family what your partner said about them, because all the parties here will lose respect for each other. Understand that such problems and disagreements are normal in Indian families where several people are involved. Be mature and tackle them with lots of patience.
We Indians need to realize that even if our culture celebrates union of two families, relatives, friends, neighbors, colleagues and society after marriage, still, a marriage happens between two people and there are lots of things which should be kept between those two people only to preserve the beauty of the marriage and the relationship of husband and wife. A lot of Indians include several people inside their marriage and then complain that their marriage is a torture. Obviously if you'll play the game which is meant for two people in multi player mode, confusions and disasters will surely arise.

P. S. - Such things should only be followed where the matters are not severe or serious. In some marriages, one partner tends to abuse and harass the other partner. In such cases, kindly don't stay quiet or try to solve everything by own. Instead take the help of elders or law.