Cocoia Blog hosts a great two-parter on how to make your Mac virtually impregnable to the common thief or hacker. While a lot of these measures will seriously impair your ability to easily use your Mac (such as turning of Bonjour networking entirely), they will also make you quite a bit safer.

If you have sensitive documents on your computer, these are things you should, at the very least, consider implementing.

Cocoia Blog Howto: A more secure OS X before Leopard