Preparing my MacBook Pro in case it is ever stolen
You want to set an Open Firmware Password. This makes it so that a thief needs a password to boot to another disk (or do anything other than a normal boot). This means that they can't reset your password from the OS disc and get in anyway. This is an important security measure to take. The only problem is that you can't do things like safe boots and verbose mode. Here is an article about how to set up the OF password (and how to reset a user password).

And here is a general article about physical and virtual options to increase security (ways to help locate a stolen Mac, make thieves think it's broken, or even just lock it to your desk).