Twitter's giving users more control over what information they're sharing over third party applications. Apps that you use for direct messages will need to ask for your permission again. They said in a blog post that by June, whichever apps don't actually need to use your direct messages, will no longer have access to them. Those apps will still be able to be used normally.
Look at what permissions you're actually giving third parties
Furthermore, when you first connect an application to Twitter, they're going to give you information on what you're actually allowing the app to do with your account. This includes reading your Tweets, seeing who you follow, updating your profile, posting Tweets on your behalf, or accessing your direct messages. If you’re not comfortable with the level of access an application requests, you say “No, thanks”.
The Twitter universe clearly uses a number of third party application services for performing tasks like other networks, connect to other players on gaming platforms, or instantly tweet whenever you update your blog. It's good to know what information these third parties derive from your Twitter account and how they use it.