The dynamism of modern business conditions, as well as increasing competition, call for companies to change their usual ways of doing business and communicating with consumers. Therefore, today's direct marketing industry is experiencing explosive growth, as more and more companies include these activities in their communication mix. Many companies benefit from the development and usage of direct marketing, but at the same time, its growing usage led to numerous problems for companies as well as for the consumers. Direct marketing, advanced information technologies and Internet, on whose use it is more and more based, caused a number of legal and ethical questions without precedent. One of the issues that is making consumers more and more worried is concerning the privacy of their personal data and information which is being collected by a large number of companies. In addition, consumers are often not aware of this data collecting, which is adding even more gravity to this problem. The remainder of this paper will point to the necessity and great importance of careful and responsible use of consumer's personal data by direct marketers, with the aim of build long-term partnership relationships between the two. In addition, special attention will be paid to major problems that consumers face today in the field of data protection, as well as to the efforts committed in order to bring these problems to a minimum by getting consumers more involved in making decisions about usage of their personal data and information.