They're really simple to set up, but there are a couple of items that shouldn't be overlooked.
1.) Use WPA encryption
2.) Use your router's firewall (or Mac filter)
3.) Change the default setup password
All routers come with a predefined password and userid. You'd be surprised how many times I've found these values left unchanged. Which basically means your neighbors can access and change your setup (not good).
One other handy item is a software monitor that alerts you whenever someone tries to access your router. You can find that below -
AirSnare