1) is to use the WEP security encryption as someone mentioned.
2) a second way is to use MAC filtering...this is a process most routers support that allow only certain other computers/wireless cards access your network. If you look on your wireless card (or the box it came in) you should see something called a MAC address...it is unique to a piece of hardware - like an individual id number...if you add this to the list of "allowed" MAC addresses and turn MAC filtering on, your network will only allow those MAC addresses to use your network connection.
I use both WEP and MAC, but I have some friends that use 2 routers and have created DMZ (demilitarized zone) setup where it is virtually impossible to crack - only the most experienced of hackers (who would also have to be targetting you specifically) could get thru.
Funny you brought this topic up - I know plenty of people who take their laptops with them and during lunch/other work breaks will just look for a signal to borrow.
One of the REALLLLLLLY bad things that can happen by not having a secure wireless connectin is that someone could theoretically send illegal pictures (you know the ones I'm talking about - think Michael Jackson) and or even email threats, and the trace will come back to you. So BE CAREFUL out there and secure those wireless connections.