Inside Facebook security, and how to better protect your account | Graham Cluley’s blog.

Improve your Facebook account security by changing the default setting under “Account Security” for “Would you like to receive notifications for logins from new devices?”

The default is no. Change it to yes.

If I understand this correctly, you will get notified when any third party application logs in to post a message.

There is a caveat though:

Of course, one thing to beware is that it would be easy for hackers to fake an email to appear as though it were one of the messages from Facebook, warning you that your account had been accessed. And if in a blind panic you clicked on a link in that bogus email, you might be taken to a phishing site.

Or worse.