I don't password lock mine - I'm just too lazy to keep typing in my password every time I switch the iPad on. I guess you're probably worried if you have something confidential on it but I don't and, anyway, if you subscribe to the MobileMe 'Find my iPad' service, you can enable remote-wipe and erase all the data.
I am one of those sad guys who's never been robbed, mugged, cheated, defrauded or had anything stolen in his entire life, so I have a generally trusting outlook towards my fellow men and women. Anyway, there's nothing on my iPad that would be remotely interesting to anyone else but a sad person like myself.
When I first moved to this remote area of Scotland (where the houses are far apart) a 'neighbour' told me that, in this area, people never lock their houses when they go out. It's an old tradition. While you are away, he told me, a friend might come calling and, if you're out and the door is locked, how would they let themselves in to make themselves a cup of tea, before starting the journey home? Put like that, it makes perfect sense.
Tim
Scotland