On the surface this seems like a silly question. Surely you own your Facebook photos, status updates, notes, links, or anything else you've shared. Because, after all, you put them there. Right?
Not necessarily. Facebook's terms of service make it clear that, while you technically "own" your own stuff, you're granting them "a non-exclusive, transferable, sub-licensable, royalty-free, worldwide license to use any IP content that you post."
In other words, you own it, but they can do whatever they want with it. Hence the "sponsored stories" Facebook just announced: Ads that use your profile picture, based on your Likes and Facebook Places check-ins, without asking you. (See "Facebook ads use your face for free.")
Even if Facebook doesn't do anything with your content, other people might. Depending on your privacy settings, your updates and comments could easily appear on another site (like Openbook) or be downloaded and shared by anyone who has access to your Facebook feed.
Install the uProtect.It button in your browser toolbar. When you want to protect a status update, comment, or photo, click the button; your Facebook header will glow a John Boehner-like orange. Write your comment or upload your photo, and click the orange Encode button. Voila - all your friends will see is that you "made a protected post" and give them a URL where they can log in to decode it.