People who are marginalized experience disproportionate harms when their privacy is violated. Meeting their needs is vital for developing equitable and privacy-protective technologies. In response, research at the intersection of privacy and marginalization has acquired newfound urgency in the HCI and social computing community. In this literature review, we set out to understand how researchers have investigated this area of study. What topics have been examined, and how? What are the key findings and recommendations? And, crucially, where do we go from here? Based on a review of papers on privacy and marginalization published between 2010-2020 across HCI, Communication, and Privacy-focused venues, we make three main contributions: (1) we identify key themes in existing work and introduce the Privacy Responses and Costs framework to describe the tensions around protecting privacy in marginalized contexts, (2) we identify understudied research topics (e.g., race) and other avenues for future work, and (3) we characterize trends in research practices, including the under-reporting of important methodological choices, and provide suggestions for establishing shared best practices for this growing research area.