They sure do. The smartest thing people can be weary of is anything online ;p Personally, I don't think anything is secure anymore. Facebook recognizes words you use in general posts and statuses for it's ads. Say you send your mom a msg about these cool shoes you saw over the weekend, and you use the word Nike or Adidas, next thing you know there are ads specifically about Nike or Adidas. It's all a huge scheme. But you need to be careful.
The only other media source I link (knowingly) to my FB account is Youtube which is a part of the like feature. Then the worst I get is updates about the artists I've liked. There are a lot of sites however that link to FB. I just never 'share' or 'like' or 'signin' my account on other pages.
I use it mostly to keep in touch with my family. Now that everyone is so spread out and we all have new kids etc... it's really hard to stay the tight knit fam we always were growing up.