Edit: Almost forgot the obvious: Change the name of your network. The default name is the worst you can have. An easy to guess dictionary word almost as bad. Choose an easy to remember, hard to guess, mix of letters and numbers (which also is a good tip when it comes to choosing passwords).
Enable WPA or WEP (if you have to, even though WEP is totally busted) and choose a LONG password (20 characters, no dictionary words, WPA with short passwords are also busted). Either should do the trick for a home user (unless you download large amounts from the net, then you should change the password at regular intervals).
Turn off SSID broadcasting. Having that on is like having a lighthouse telling everybody that "here's a network!".
If you and only you are going to use the network you can enable MAC filtering, and add the MAC address from your machine(s) wireless network card as the only ones allowed to use the network. Addresses can be spoofed, though but along with the other measures you should be pretty safe.
A person looking for easy wireless access will probably go elsewhere, since there will always be people that doesn't enable the security features, or even know there are security features.