You may have set photos of you to be private, but what about your photo albums? Many people forget that the albums entitled "Profile Pictures," "Mobile Uploads" and "Wall Photos" are usually visible by everyone, unless you edit the privacy settings.
Go to your "Privacy Settings" page and choose "Customize settings." At the bottom of the first section, click "Edit album privacy." Here you'll see every one of your photo albums, and each of their assigned privacy settings.