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If you want to respond privately to a specific member of the mailing list, you can address your email to that person individually exactly as you would for any other email message that you normally send outside of the discussion group.
Additionally, some lists are "archived" which means all messages are preserved in a digested form so that late arrivals to the discussion group can read what earlier members have been talking about. This gives them a chance to catch up on the conversations that might be taking place. In some cases, individuals outside of the discussion group may have access to these archives.
Additionally, when members sign up for a mailing list, their email address is archived and stored away by the list server. Obviously, the list server needs this information so it can send messages from other group members to you, through electronic mail.
Depending on the configuration of the particular discussion group, the email addresses of all discussion group members may be made publicly available. If this is a concern to you, check with the list manager of the particular discussion group you want to join and ask if the member list is made available to the public at large, other members only, or made completely unavailable.
Finally, if the member list is suppressed from everyone and you never a write a mail message to the group, you are essentially a 'read-only' member and the list-manager is the only person who knows you have joined the discussion group.
If you are extremely sensitive about your privacy, protect yourself by using common sense on the internet. Never give out your home address or phone number. Never, EVER, provide your social security number or credit card number over the internet EVEN if the web page claims that it is a secure site. And simply do not provide information about yourself to people you don't know.