Well, besides your data being sold to advertisers (which may give you a creepy feeling but not much more), the friend list for most (all? I'm not that familiar with Facebook) Facebook users is public, and a lot could be learned from that alone.

By canvassing you friends list, and your friends' lists and the way different lists intersect, it's often very easy to know who are your, say, school friends, and who are your work friends. It is also quite easy to find out who your close friends are, and whom you only know in passing or have fallen out of touch with.

Using that information, I could introduce myself (online or offline) as a friend of one of your not-so-close friends. Then, it would be quite easy to gain your confidence. I could use you trust to get something directly out of you, or I could gain your trust just enough to friend you on Facebook (under a false identity) and pass your information (which is no longer so private) to a third party that has hired me to follow you.