It's not just logon passwords - physically protecting the laptop will help against theft.
However, check out the noise about
FireSheep.
In essence if you use your laptop to access services from somewhere other than your own home or corporate network - and even then there's no 100% guarantee - use a VPN, or make sure that the web page / internet accessible service you use makes EXCLUSIVE use of secured protocols - HTTPS, S/IMAP, etc.
Edited to add this after I'd digested Gertrude's advice - what things are important to you when you use the computer that you're trying to protect ? Answer that, and we'll help you out more than we can by blind posting.