If the Facebook Places application feels a little too "Big Brother" to you, you might simply opt out of using this feature
by never "checking in" anywhere. But, that's not enough to keep you
geographically anonymous. It's still possible for other people to tag
you and reveal your location to whoever they make their profile
information available to (which could be everyone). Keep reading for
detailed instructions.
Source; wikihow
Steps
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1Go to "Account" in the upper right hand corner and click on "Privacy Settings".
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2Click on "Customize Settings".
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3Look for "Places I check in to" and "Include me in "People Here Now" after I check in". Make sure the check box (Enable) next to "Include me in "People Here Now" after I check in" is unchecked.
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4Click on the dropdown menu next to "Places I check in to" and click on "Customize".
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5In the box that shows up, select "Only Me" from the first dropdown menu. This is as private as it gets.
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6Go back to privacy settings. Look for "Friends can check me in to Places" (it's in the section titled "Things Others Share". In the dropdown menu, select "Disabled".
Source; wikihow