For me, it comes down to a matter of trust. I have to trust the person I'm communicating with, or I won't give them all of me...and that includes my closest relatives. But if I trust you, fully trust you, I'm totally open and honest. I love giving feedback, and I love receiving productive feedback, but I don't have to trust someone implicitly to accept their feedback; I just have to interpret their words as valid and wise.
As to what I'm not willing to share, it depends. If I feel the feedback is an even exchange, I'll gladly and freely give even delicate information. But if someone is asking me a lot of personal questions and isn't willing that I ask the same questions in kind, I usually pull away from the conversation. I am really willing to listen and communicate with others if the freedom is there...but the exchange has to be both equal and fair.