If you are on Facebook, check out ReclaimPrivacy.org. They have a Scan for Privacy link that you drag to your bookmarks bar on your browser. You then go to your Facebook page and click the link. It will tell you how private various aspects of your Facebook page are to the outside world and give you links to go into your Facebook settings to correct it (or leave it alone as you see fit.)
They also have links to articles about Facebook privacy.
On a more extreme note, May 31, is Quit Facebook day. Apparently, 11,000 people have pledged to delete their Facebook account on that day. If you decide to do that, however, make sure your Facebook information is permanently deleted and not just hidden. Once you've deleted your account, try signing in again. If you get a prompt asking you to reactivate your account, it is not permanently deleted.