That's true for a certain category of content - wall posts, photo albums, notes - although they don't make it especially easy. For comments, you not only can't

That's true for a certain category of content - wall posts, photo albums, notes - although they don't make it especially easy. For comments, you not only can't control the privacy setting (it's controlled by whoever posted the original content), you can't really even tell what it is. For other things - likes, your friend list - you can't control it at all.