According to a new study by Gartner, 90% of mobile devices lack protection from hackers. This was most recently shwon by the "bluejacking" phenomenon, though that was largely harmless.
The most commonplace scenario occurs when a user accidentally loses his or her mobile device -- full of confidential enterprise data -- which leads to a serious case of identity theft."
While not the most secure, it's a good idea to password protect your phone. It may be slightly annoying, there's nothing like the security that your clients won't be crank called by a 16-year old who found your phone on the subway.