According to this, thin clients use bloom filters to request "addresses and transactions they are interested in to the peer". And according to this, bloom filters are used to help prevent the SPV peer from "know[ing] which transactions belong to the client and which don't.".
But the accuracy of bloom filters, and thus how easily the peer can deduct which addresses belong to the client, is determined by the thin client.
So how well do the major thin clients (Electrum, Multibit, Mycelium, etc.) protect the privacy of the addresses belonging to your wallet from their SPV peer?