I found an article over at Bayou Renaissance Man which highlighted some of the dangers with Facebook.
I suggest you read the article but basically Facebook allows you to download the data that they have on you. The risk the article highlights is that anyone hacking your account could also download this data and use it.
This can be done by clicking on the cog (top right hand of the screen), choosing Account Settings, choosing General and clicking on the Download a copy of your Facebook data link.
After clicking on this I was prompted for my password. An email was then generated and sent to me which said I was downloading the information and I received another email with the link to actually download it.
I then had to provide my password again and finally could download everything.
I have had a look through it and couldn't find anything particularly incriminating. However, I do have a slight feeling that deleted messages are retained in this data.
I'm currently testing this theory and will update this post when I've got an answer.
[UPDATE: No, deleted messages aren't retained in the data downloaded. So if you have messaged something to someone that you don't want others knowing, delete your messages! /UPDATE]