The majority of Wireless networking equipment supports the Wired Equivalent Privacy (WEP) encryption protocol. However, a large number of people never configure it. Running a Wireless network without WEP enabled is equivalent to hanging an Ethernet cable out of your window for anyone who wishes to plug into your network.
The type of WEP encryption you use will depend on how sensitive you consider your data to be, and how fast you want the connection to run.
Most Wireless equipment supports up to 128bit encryption, with others supporting up to 256bit. Basically, the higher the level of encryption, the lower your speed will be (with the reduction depending on the quality of the hardware you use).