As a general statement what you log is pretty much up to you, however you should definitely consult an attorney if you have any questions. You may also want to have a written policy regarding logging & stick to it, otherwise if some government goons come to you seeking logs it may be difficult to convince them you don't have them / never kept them.
The legality of retaining logs varies based on
(a) What you are logging,
(b) Where you are, and
(c) What you do.
For example, in the Great State of New York it is perfectly legal for me not to keep server logs of any kind (Where we are). However my company is required by US Federal Law to retain certain logs (access to healthcare information -- What we do).
Similarly some places may ostensibly make it ILLEGAL to keep server logs -- In the Great State of Pennsylvania there are some pretty strict laws about recording conversations (wiretap), so if your intent is to record every interactive session you could conceivably run afoul of that law.