I have used Jeff's sample of how he set up his Security Options; while it's a pain to have to put in the password every time I remove the phone from my holster (which lives on my belt loop), it beats having someone get into my BB.
On my Owner Screen, I have my name; then, with a space for the screen that comes up when you press anything, I have:
"ICE - Husband" (followed by his name and phone #)
"ICE - Sister" (followed by her name and phone #).
I figure this works well if I lose the phone; it should also work well if (God forbid) I'm in an accident, since in this day and age, anyone who finds me (police, EMS, whomever) will have their own cell phone to call my ICE information with; they don't need to use my phone to do so.
Also: it's Standard Operating Procedure for me to back up my BB information via DM every morning, and to back up the 3rd party programs via DM every morning as well. That way, if I lose my BlackBerry (or if, more likely, I do something to blow the OS out of the water), I have all of my stuff on the PC.