Security: All routers have encryption available, usually WEP, WPA and WPA2. WEP is totally broken, don’t use it at all, ever! WPA and WPA2 are the best options with WPA2 being the best.
Passphrase: WPA2 security is dependent on the passphrase you use to lock it down with. 8 characters is the minimum, 63 is the maximum. Anything less than 20 characters is not considered secure by the standard. Be creative, type out a poem or something long instead of a single word.
SSID Broadcast: Let the SSID broadcast (sometimes called SSID cloaking, in which case don’t cloak). It is commonly said to hide the SSID as a security measure, but it’s pretty useless. It’s trivial to detect the name of a network with common tools, so no point in hiding it. Also, you network will run better if there is a regular beacon it can use to tell signal quality.
Road use: When using a connection on the road, make sure to use a firewall on your machine so no one else on the network can poke and prod at it. Also, if you can, avoid using hotel/coffee shops/etc WiFi and use a wired connection instead.
These simple tips will help you protect yourself and your data.