Foursquare is kind of dangerous -- people know when you're not home, and they can track your spending/buying patterns to see if you'd be worth robbing.
As for etiquette, the whole point of it is to check in everywhere you go. My friend @csweigart, the social media director where he works, even checked in at Church before Christmas Mass.
From a personal standpoint, 4sq seems kind of silly. I don't see the point of it, and I don't do it. If you need to know where I am, I'll tweet about it. Plus, you really can't check in from "Powers Ferry Road, stuck in traffic".
A traffic-tracking version of 4sq, however, would be AWESOME. I should invent that.