GPG is a good thing to teach, the same as HTTPS and things like the EFF's HTTPS-Everywhere extension for most major browsers. Don't just stick to HTTPS though, make the leap to TLS/SSL and how it can be used to protect other forms of communication like e-mail.
BitTorrent Sync would be another thing I'd have a look at as it allows them to create their own Dropbox-like system, sharing files with friends etc. without entrusting their data to a third party.
Someone advised to never use free e-mail services but even with paid ones you have no guarantee your data won't be turned over. So if you want to be absolutely sure, host your stuff yourself.
Have a look at the Freedombox, https://www.freedomboxfoundation.org/, and ark-OS, http://ark-os.org/. Teach them about open source communication platforms and protocols such as XMPP (Jabber). You don't have to teach them how to set this stuff up, that would also require a working knowledge of Linux, but make them aware. Linux itself wouldn't be a bad thing to mention too.
Most importantly though, don't be an idiot. Don't share things on the internet you deem private or not for public consumption or when you do chose to do so, make sure others can't reade it.