For other people, I don't usually have any real need to. My various social circles hardly ever cross over, so I can discuss pretty freely with one what happened in another. Within any one circle I don't generally do that, I guess it really comes down to how much damage the secret would do if it got out. When talking to two people living on opposite sides of the world who've never met and never will? No real sense of obligation to keep the secret there. Two people who live in the same town or often hang out at the same place? Yea, that one's staying locked up.
As for my own, I will answer (honestly) any direct question that I am asked because I'm a terrible liar. In order to keep my own secrets, I rely on guiding the flow of conversation away from anything I don't want to talk about. Other than that, I have learned to tell people a lot about myself without giving very much information away.