First, it is important to remember that the primary votes are actually closed party business. They are open to the public and taxpayer funded, but when you vote in a primary you are declaring yourself to be a member of that party. This isn't a problem for lifelong Democrats or Republicans. For the majority of people that declare themselves independent of a party label, though, you are making a statement of affiliation by voting in a primary.
Actually, it may even be illegal for you to vote in a primary in certain situations. Although impossible to track and enforce, you are legally only allowed to vote in a party's primary if you the majority of the votes you cast in the last general election were for that party, or if the majority of the votes you intend to cast in the next general election are for that party. Again, this is not possible to enforce, but like using the honor box in a parking garage, it's just the right thing to do if you are a person of integrity.
Second, you are giving the parties a LOT of information about yourself when you vote in the primaries. In a world where everyone throws a fit every time Facebook changes their privacy policies, you should consider the information that you are giving the political parties each time you vote.
No, they don't know exactly who you vote for when you step inside the ballot box. But it is a matter of public record which party's ballot you pull, how often you vote, and which elections you vote in. For the purposes of marketing their candidates to you most effectively, the parties consider this some of the most valuable information they have and they use it a lot. And I mean a LOT.
Every one of you that has ever voted is on a list that the political parties has. And you are categorized. Based on the information above, the parties label you in many ways. "Hard R." "Soft D." Whatever. Did you ever wonder how your neighbor got one mailer for a candidate, and you got a completely different one? It's based on your voting histories. Your neighbor votes more, or votes less, or never votes in the primaries, or always pulls the same party's ballot, or never pulls the same parties ballot, or whatever.
Based on that information, the parties know to send the mailer that bashes a candidate to the voter they deem most susceptible to that message. And the happy message to the voter that will respond to that. And the Hard Rs and Hard Ds probably don't get much money wasted on them for mailers at all, because their votes are so predictable that no mailer will swing them. It's voter profiling, and it happens constantly.
Third, if you are a member or supporter of a third party, such as the Libertarian Party or the Constitution Party, then you don't get to participate in the primaries at all. The two major parities have crafted it this way through legislation. They don't want the third parties to be able to participate in the primaries because they don't want the third parties to know who their voters are. The voter profiling that the two major parties do constantly and completely rely on is a benefit they don't want to give to anyone else. They abhor competition.
So think about this before you go vote in a primary. I'm not telling you to not cast your primary vote, I'm just saying that you should be aware of what you are doing when you do. You are saying "I'm a Republican, world!" or "Hey, Public! I'm a Democrat!" You are submitting yourself to a world of intense profiling. You are opening yourself up in ways you probably didn't want to know.
(As an aside, if there is a school board race or other non-partisan vote taking place along with the primaries, then you can always ask for a ballot that only includes those non-partisan races. By doing so, you can submit your vote in those important races without making a party declaration.)