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.