I'm so paranoid about my Black Berry getting stolen like one of my previous phones was.
I set a password on there.
The only thing that bugs me about it is when my phones times out (one minute) and I have to enter it again but it's a good security feature.
I also like when you plug the Black Berry into your computer you can't do anything at all unless you enter the password on both the phone and computer itself. So even if someone does find my phone unlocked and keeps it that way they wont be able to wipe it and unlock it for other carriers unless they enter the password on the computer.
Great thinking RIM.