I don't have any serious concerns about privacy because of Facebook, but I do want to point out an aspect where Facebook's privacy controls don't apply.

If someone takes a photo of you, they can upload it to Facebook. If they tag you, you can remove the tag. The photo will be there regardless of whether you accept/remove any tagging, and it will be outside the jurisdiction of your privacy controls. The uploader controls the privacy level of a photo, regardless of who the subject of the photo is.