However, just like on a wired network, without encryption... it is easy to sniff and see what you're doing. So... since your data is flying over everyone heads you may want to have your own encryption. If you are not worried about people seeing what your normal traffic is... then don't worry about it. Your secure sites should be encrypted using SSL anyway.
If your talking about securing your computer against other wireless attacks, the obvious stands as everyone else has mentioned, ie firewall etc etc etc

if the hotel have wep, and you could get the key, then so can the guy sitting next to you... ie, he can sniff your packets that arent secured via ssl etc. wep will just help secure the connections to those who know the wep key, compared with those that dont...

So, pretty much, these protocols are the killers (send plain-text passwords etc)

TELNET, FTP, POP, RLOGIN, SSH1, ICQ, SMB,
MySQL, HTTP, NNTP, X11, NAPSTER, IRC, RIP, BGP, SOCKS 5, IMAP 4, VNC,
LDAP, NFS, SNMP, HALF LIFE, QUAKE 3, MSN, YMSG
(and yes, it was from the man pages of ettercap :P)

So pretty much, if your really paranoid, when using any of those protocols, be very careful, assume someone is watching your packets all the time.