Facebook now allows you to vary the privacy of what you post to your profile, item-by-item. This added flexibility means you can even restrict visibility of what you post to specific sub-groups of friends.
The default security option for anything you post to your wall — status updates, wall photos, videos, or shared links for example — is set in your Profile Information privacy page under "Posts by me." If you choose to change the setting of a posted item, all you need to do is click the lock icon and select the new security option you'd like to use.
Note that Facebook will notify you that your selection is different from your default option — but only the first time. After that point, be careful that the items you post to your profile are only visible to the right people!