A future employer insists on knowing what other opportunities I am considering. Is this an ethical practice? Am I obliged to tell them?
You're not obliged to tell them. Of course, they're not obliged to offer you a job either. You'll need to determine how badly they want the information and how strongly you feel about not divulging it to figure out whether it's worth fighting this battle.
It's pretty common for an employer to want to have an idea about the sorts of companies they are competing with for particular types of employees. That helps the company do things like ensure that they're paying competitive salaries and that they've got a competitive benefits package. There is generally nothing unethical about doing this sort of market research.
If you don't want to divulge the information, most companies will respect that. You can certainly tell them that you consider all negotiations confidential and that you intend to respect the company's privacy just as you do for the other companies that you've talked with.
Answer the question truthfully but in generalities. Leave out specific company, title and compensation information. If pressed for the specifics, decline to answer and note that the information they request is confidential.
Interviewer: What other opportunities are you considering?
Me: I have a second interview scheduled for tomorrow for a similar position at a company in a different industry. I have had initial phone interviews with two other companies for project leader positions in the last week. I am hoping for an offer for a manager position at a large company nearby next week as they asked for references.
Interviewer: And what companies are those with?
Me: I can't divulge that, it is confidential information.
Interviewer: I realize that it is sensitive, but it is important that we know so that we can know how quickly we have to proceed.
Me: I am sorry, but I cannot give out that information. I must respect the confidentiality. I will let you know as things progress and let you know of any time constraints as soon as I know them.
Tone and demeanor are hugely important here. Don't get defensive. Keep your voice level, keep your tone a bit light. Don't rush your answer, but don't drag it out either. Don't hedge. Be matter of fact about the answer, and about any aspects that you do not answer.
One important sub-text to this question and others like it is the evaluation of how you handle difficult or sensitive conversations. Do you get flustered? Do you appear uncomfortable or do you hesitate? Do you come across as trustworthy? Are you just saying what the interviewer wants to hear?
It's neither unprofessional nor unethical for them to ask. There are good reasons for a company to know who else you are talking to - not all of which will disadvantage you . It may affect how fast they need to schedule the recruitment process. I may also reflect positively on you if you have an interview with a high-reputation company. There is also the possibility that they may try to use the information against you.
While it's not unprofessional for them to ask, you are always within your rights to refuse to answer. It's entirely up to you whether you tell them or not. I personally wouldn't, just because the possible disdvantages outweigh the advantages. If you don't want to tell them, simply say you'd rather not say. If they push you, tell them the other company has asked you to keep it confidential. If they are still pushy after that, walk away. If they don't respect confidentiality in this (and asking you to breach confidentiality IS unethical behaviour) it is highly likely they won't respect ethics in other areas.
It's not 'unethical', but it puts you at a disadvantage.
They're doing this to gauge how little to pay you. In a negotiation, the person who makes the first move loses. Use it to your advantage - hint at other opportunities that pay more, but haven't got back to you. Or tell them of job offers you've turned down and why (because you don't like the lack of benefits, overtime, etc).
They might also do this to gauge why you haven't had a job yet (i.e. are you competent?) Make sure not to bluff about other opportunities too much.
I know one interviewee who said he only applied for one other job (to make himself look loyal) and he came across as lazy, spoiled, not proactive.
You can safely insist that it's private. If they still pressure you, it's a good sign that you're working with a pushy/nosy potential employer.
It depends on how small of a world it is that you live in.
For example, within the niche that I work in, over the years people have travelled from one company to another. I can honestly say that I can probably call up and find managers within most of the big shops.
If someone asked me which companies I am interviewing, and had worked within this field long enough, they would be able to find the exact people that I am interviewing with. Chances are they might actually be having beers with this person every third Friday, or something to that effect.
The gist of my answer is this: if the world you work in isn't 'small', then by all means you lose next to nothing if you tell the company who it is that you're interviewing with. They probably just want to make sure you're not interviewing with Google (in which case, your interview process might take half a year, and when you get the offer they won't be able to compete - not a good idea to invest in the hire).
If, on the other hand, the world is small, then I would suggest you not put yourself in a situation where the job market colludes against you.