Apple - 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).

Considering the other answers, and the possibility of not getting a laptop back, perhaps you need to consider using time machine for a backup, and put the target NAS somewhere not close to the laptop - like in a discrete cupboard with good wi-fi coverage, or a wired ethernet port. You should do this anyway - for the dozen other reasons that the data on one hard drive may become irretrievable.

That way, you can have reasonable drive encryption, as even with the OF password, it does not prevent them removing the drive and using it in another machine to retrieve interesting contents. Your bank details may be far more value to some thieves than a working MBP depending on their level of sophistication.

I use and like Undercover by www.orbicule.com