To see what data you are sharing with the world (ok, just every site you use Facebook Connect to create an account), just type in: http://graph.facebook.com/yourusername
To see your friends' data you are sharing:
*If you don't know your Facebook username, go here: http://www.facebook.com/username/
**If you have tight security settings already, you'll probably get "o auth required" type messaging. You're ok.
Then, set your security settings to allow or not allow all this info...your decision. FB says it aggregates this info you share, the sites you share it with to then give you a better experience / more targeted experience. Sooo, the tradeoff to signing up to 3rd party sites with Facebook Connect is it is easy/fast for you and the site owners, everyone gets more data (especially FB) and then you IDEALLY get a better FB experience going forward. What could go wrong? :)