Go to Account > Privacy Settings, click Customize Settings. Under "Things others share", set "Friends can check me in to Places" to Disabled. Otherwise, your less scrupulous friends can check you into potentially embarrassing locations.
Optionally, under "Things I share", adjust the "Include me in "People Here Now" after I check in" and "Places I check in to" settings accordingly.
Update: you should see my more complete guide to changing your Facebook Places settings.