Thanks for your question. All WiFi networks are inherently insecure, so without a VPN your data would be open to anyone who had the software to "sniff" it. Checking in with FourSquare and Yelp will also give the business access to a few data points that are associated with your profile information.
If you have any further questions, just ask. For more information about PRIVATE WiF's VPN, check us out here: http://www.privatewifi.com/