Just came across this trying to find a solution for the same problem. Implementing Paul's solution I've made a few tweaks to make this function properly.
var data = { 'venue[]' : []};
$("input:checked").each(function() {
data['venue[]'].push($(this).val());
});
In short the addition of input:checked as opposed to :checked limits the fields input into the array to just the checkboxes on the form. Paul is indeed correct with this
needing to be enclosed as $(this)