You can check in privately on foursquare by selecting not to share with friends. Your check-in will not show up at all to your friends, but it will be visible to you in your app and in your private foursquare check-in history. You will not be listed in the "Who's Here" list at the venue, either. Note that these“off the grid” check-ins can’t be published to Twitter or Facebook  and won't count toward Mayorships.
 
Why would you want to check in “off the grid?" You could be on a date, out to dinner with your parents, or someplace you don't want people to know about; while still wanting to check in to earn badges and track your check-ins on your history page (which will include your own private, “off the grid” check-ins).

See below for how to check in “off the grid” on your phone (remember, if you are using a BlackBerry, just uncheck "Tell my friends" when you are checking in).    

Note: Off the grid check-ins unlock badges but will not disclose the location or venue tied to the badge. Though off the grid check-ins will not count toward nor unlock a Mayorship.