Laptop and notebook users are permanently at risk of data theft, mostly because this kind of computers are easily stolen. The reason is simply the one of the laws of data encryption, as put by Rich Mogull: if the data moves physically or virtually you need encryption.
Since encryption is a nice security measure (although not enough by itself, because it's only a tool in the security box), modern operating systems provide it out of the box. In the case of Mac OS, it is called File Vault, and is a home folder encryption feature. Rich's experiences with it are described in an article, and that's something that every notebook user should think about setting up.
Although the use of encryption is a good measure to prevent burglar eyes looking at private data, one must not forget that it is useless against malicious software running in the context of the user. One good article dealing with such subject is this one, in the same site as the above mentioned articles.
