Set up a firmware password
A firmware password could be useful if you're concerned about your computer getting stolen. It's a difficult thing for most thieves to get around. Once you've set up a firmware password, booting your Mac to anything but the hard drive requires the password.
If your Mac is running the Lion OS, enter Recovery Mode by pressing the Command and R keys during a boot. Pick the language, and in the Utilities menu select Firmware Password. Follow the instructions. For machines running an OS X older than Lion, Apple offers an installation guide.
Warning: If you forget your firmware password you will need to take your Mac to an Apple store for recovery.