A Really Good Lock - Encryption
You'll need some good encryption to stay safe too. Your information is flowing across the wireless connection, so you need some way to keep prying eyes away from it. Without getting into the technical side of it, just note that an unencrypted connection can have a third party sit on it. They will then be able to capture the packets and read them. Basic encryption can mix it up and make your browsing unreadable. For a slightly deeper look at wireless hacking, check the link.
As a general rule, you just need to get the strongest encryption offered by your router. You may be limited by older hardware, so just try out different settings and accept the highest that you can. I actually think it's best to just let the system come up with a key for you after you pick your level of encryption. You can always log back in (as long as you remember your admin password) and look it up if you forget it.
Note, that WEP appears to have been cracked. Basically, it looks like anyone sufficiently motivated can use a few cracking tools to just do it for them. The only limit is time and their ability to stay within range long enough to get something good. There are rumors of other forms being cracked, but it isn't as simple (and realistically, it's unlikely that you ever have to deal with skilled enough hackers to do something like that).
Regardless, use the best that you can. The more advanced versions of WPA are quite good and should be fine for the average user.