With sensitive data, you might want to restrict download and/or printing of shared documents.  This allows for files to be set "view only" by selecting “anyone” or “specific person” and select the block download button.  Currently, the following file types are protected in OneDrive:

• All Office files (e.g. Word, PowerPoint, Excel) can be blocked from download or printing.
• Audio files can be blocked from download or printing.
• Image files can be blocked from download.  Currently, you can print from the browser as well as right click and “save as”.
• PDF files that are created natively or as "save as PDF" can be blocked from download.  Currently, you can print from the browser as well as right click and “save as”. 
• PDF files that are "converted" vs. "save as PDF" cannot be blocked from download.
• Video files currently cannot be blocked from download (Microsoft is working on this).