Data privacy in the smart grid is an important requirement for consumers. Central to the data privacy issue is the handling of energy-usage data, in particular, data retention, aggregation and anonymization. Government and industry groups have formulated various policies in this area, mostly based on fair information practice principles. This paper argues that the current policy-level work is insufficient – scientific work is needed to fully develop and implement privacy policies. A research agenda is proposed that balances the advantages of fine-grained energy-usage data with the associated privacy risks. For comparison purposes, the paper describes analogous policies and implementations related to telecommunications, web search and medical data.