Click on Profile > Privacy
Here you can change who sees your friends list, photos and groups list by choosing either:
Public - anyone can see
Site Members - only registered members can see
Friends - only registered members who are your friends can see
Only Me - nobody else but you can see
You can also change the privacy settings on your activity posts by clicking on the little arrow in the top right corner of the post and choosing Privacy Setting. By default this is set to Site Members.