I currently have more than 50 pending "friend requests" on Foursquare, and I have no plans to accept a single one of them unless, of course, I realize they're people who I know enough to feel comfortable connecting with. As is, I have no desire to connect and share location information with people I don't know. (Note: Anyone who uses Foursquare, or who simply visits the site, can a list of the places at which you hold mayorships, but detailed location information is only available to your friends.)
Perhaps you frequent a bar across town from where you live, and that bar offers Foursquare specials to its Mayor. Let's call that bar "Al's." Checking in at Al's might be okay with you since, it's not in the neighborhood where you live, and you could potentially score some free appetizers or pints for holding down the Mayor title. You need to decide whether or not you want others to know you spend some of your nights at this particular drinking hole. If you feel that sharing this information offers up too much personal data--you're not home on Tuesday and Thursday nights--you probably don't want to start checking in at Al's. But if you're not worried about announcing your location for a few hours a week, this might be an acceptable check-in spot.
Now, let's consider checking in at a local Stop & Shop or other grocer. Lots of people check-in on Foursquare at your Stop & Shop, but there are no Mayor deals, and it's literally just a few blocks away from your home. In other words, someone could potentially determine that you live close to said Stop & Shop, because it's a grocery store you're at frequently, and most folks shop for groceries near their homes. Since you don't have much to gain by checking into Stop & Shop--no badges or Mayor specials--it probably makes sense to avoid checking in there.
I almost never check-in on Foursquare in the neighborhood in which I live, for this reason. But I check-in all around my workplace, since I'm less concerned with people knowing where I work than where I live or spend much of my free-time. I also always "exit" or close my BlackBerry Foursquare application after I check-in, since leaving the app open can identify your location even if you're not checking in.
Privacy-specific settings on your Foursquare settings page also let you decide whether or not to link your Facebook and/or Twitter accounts to your Foursquare profile. And you can determine who can see your e-mail and phone number associated with the account, as well as your connected Twitter/Facebook feeds and whether or not you're at a specific location while checked in there.
I won't say Foursquare isn't potentially dangerous to users--especially high-profile users who may have many fans or followers they don't know. But there's both a right and a wrong way to use services like Foursquare, and much of the risk associated with such location-based services can be mitigated if they're used responsibly.