You could go with a foreign registrar. I used to like gandi.net because it was based in France, so it had to observe EU privacy laws (you'd still be subject to the US with respect to .com domains though). However, Gandi.net now also hosts in the US, so I don't know what that would mean. Plus, hosting in a different country could expose you to their local laws.
It also subjects you to Gandi's personal code of ethics, which they require you to agree to and may take your domain if you violate. It's a little strange and I wouldn't register a domain for an adult site there, at least.
