Via lifehacker, found these 10 Top Tips for Protecting Yourself at Hot Spots. Some good suggestions in there:

1. Disable Wi-Fi ad-hoc mode
2. Use a wireless Virtual Private Network (VPN)
4. Use a personal firewall
5. Turn off file sharing
6. Make sure the hotspot is a legitimate one
10. Don’t leave your laptop alone.

There are also some suggestions that will give you a false sense of security:

3. Use an encrypted USB flash drive
7. Disable or remove your wireless adapter if you’re working offline
8. Use email encryption
9. Look over your shoulder

An encrypted flash drive could help… if most flash drive encryption programs weren’t so dumb (once it’s unlocked, anyone on the system can read the drive.). Email encryption could help… but as I’ve mentioned before you are still likely going to give up a password due to an insecure protocol. Giving guidance to disable your wireless adapter makes no sense to me—to use the hot spot safely, don’t use it! And looking over your shoulder? That will just make you paranoid. I can happily hack your system from across the room without bothering to make eye contact or shoulder-surf for a password.