Good for you for watching those privileges! I usually don't mind the phone reading phone state and identity. Some apps need access to contacts because they implement a "share with your friends" function.
Internet access--I only allow it if the app has a darn good reason for it.
SD card access--same as above
Make phone calls--same as above
...whatever it is, if you don't think the app should have that privilege to carry out it's function, don't install it and find another app.
Be careful what you enter passwords into...browsers, bank apps, ftp programs. You really have to trust the maker.
Google and security researchers are constantly scanning the apps in the market for safety so you usually don't have to worry too much. Do be careful about installing apps you find on the Internet. Don't do it unless you trust the source!