To start, login to Facebook, click on the drop-down menu in the top right, and choose Privacy Settings.
This is the page you'll see. Make sure you haven't set this to "Public" unless you want to share everything publicly (like on Twitter) and then scroll down the page.
Under the "Apps and Websites" section, click on the "Edit Settings" link.
Click on the "Select All" checkbox in the bottom left.
Click on the blue "Turn Off Apps" button.