You can think of the layout.master as kind of a skeleton for the page, it contains a mixture of html markup and ASP.NET controls which are the ones like <asp:, and then there are some custom ASP.NET controls that start with the prefix <portal: and you may occasionally see other prefixes. All the custom controls have their tag prefixes registered in the Web.config file in the <pages><controls> section. There are basically 2 kinds of custom controls, UserControls and ServerControls, the main difference is that UserControls correspond to .ascx file on disk and are loaded a little differently while Server controls are just compiled into dll(s) in the /bin folder and don't have any .ascx file associated with them.
Anyway that is just the technical background, at runtime these controls render html markup depending on what they were designed to do. For example the control:
<portal:SkinPreview ID="SkinPreview1" runat="server"></portal:SkinPreview>
just renders a link with the correct url for the current page and it appends ?skin=printerfriendly
We just use a clean empty skin for printable view, the skin=x parameter appended to a page url can actually be used to preview any skin but we used it here to implement printer friendly views.
Some controls such as those in the footer are optional and can be removed entirely from layout.master without breaking anything but some are more important and must be there like divLeft, divCenter, and divRight and some others.
You are free to add any hard coded html markup into the layout.master for anything you want to appear on every page used by the skin. So you could hard code a link to your privacy page or any other link you want, we just have some built in controls that are convenient for some common things but all they do is render some markup, you can add markup directly and if you don't like the markup from the convenience control you are free to remove it and replace it with custom markup. You can also use relative urls with some .NET code mixed with markup like this so you don't have to hard code the full url, this is how my privacy link in the footer of this site is made in layout.master:
note that it is important those outer quotes be single quotes because it has double quotes needed in the function.
I'd recommend avoid use of <portal:ModuleWrapper control, it has a purpose in certain situations but I avoid using it myself.
Note also that it is possible to use different skins on different pages of a site, there is a setting to enable it in site settings.
Anyway hope that sheds a little light.