Setting a firmware password on your Mac laptop makes it much less useful to a thief and much more likely to be recoverable, as they won't be able to easily circumvent "Find my Mac" or Prey. It's also super easy.
On Lion, just restart your computer while holding "comand-R" - you'll boot into the recovery partition and have the Firmware Password utility available from the utility menu dropdown. Enter your password twice, restart, and you're done!
For earlier versions, check this.