Facebook, Snapchat, Instagram, Yikyak, Twitter, Pinterest. Names of social media sites and apps get added to the list as fast as they get removed. Social networks do just that: they network people and organizations to others in who share a commonality like interests, locations, or goals.
What you can do
Be cautious of promoted ads and links published on social media.
Get to know the privacy settings of your network sites and use them.
There is no such thing as online anonymity, and no 100% sure way to keep your information private. If you don't want that photo or comment to go out to the public, don't post it.
Be particularly cautious when posting identifiable information like your house's address numbers, concert tickets with seat locations, or IDs. This includes information that is used as the answer to password recovery questions like your high school mascot or your mother's maiden name. Know who will have access to that information, and ask yourself if you can adjust the post to eliminate the specifics.
Be aware that advertising your location on social media means that everyone will know where you are, and where you aren't. Think about posting vacation and travel photos after you have returned home.
Know who you friends, contacts, and links are and revisit those lists often.