Electrum:
No protection, the server you are connected to knows every address you own and will own in the future. If you use Tor your IP address is hidden, but the addresses are still associated. Bloom filters are not in use for this client.
MultiBit
In theory the bloom filter can be modified to include junk data to hide your addresses with loads of fake ones, currently this is disabled for speed and so there's no protection. Your peers know your IP address and the contents of your wallet, Tor is not supported.
Mycelium
I believe this client uses BitcoinJ (same as MultiBit) so the same caveats apply.