As others have said, use wireless encryption. You should try to stay away from WEP and use only WPA or WPA2 if all your hardware supports it. There have been major flaws found in WEP that make it possible for someone to gain access to your network in only a matter of minutes. WEP will stop the average passerby, but if you have a tech savvy mooch of a neighbor, he can be back up and running in no time. WPA is an emergency addition to the 802.11 standard to remedy the problems with WEP and while not perfect, is much more secure.
You can use MAC filtering and turn off ESSID in addition to wireless encryption for added security. Both of these methods may make it difficult for a passerby, but neither will really prevent someone from connecting if they really want to. Proper wireless encryption is the only thing that can really ensure that to any significant degree.
Also, not using wireless encryption, or using a weak wireless encryption like WEP will allow anyone to monitor all your network traffic. This means someone can read your emails, get your credit card numbers, find out various personal information, etc.