Bush did not suggest privatizing Social Security.
He suggested letting people have more control over how they manage their Social Security retirement funds, which would inevitably lead to more private investment of that money. (Hence Imric's point.)
Personally I'm not totally against this proposal. Done right it could be good. Of course the key words are, "Done right" - and if there is one thing that I trust Duh not to do, it is doing things right.
Cheers,
Ben