The iPad is like any other device, it has your data on it. No matter if you use it at home or out in a coffee shop. You need to make sure that your data is safe. The iPad like the iPhone allows you to lock the devise from use with a 4 digit passcode.
To enable locking your screen you need to go to Settings | general | Passcode Lock
Select Turn Passcode On
You will then be asked to enter a passcode. You have to enter this in twice
You then have an option on Require Passcode (Immediately, After 1, 5, 15 min or 1, 4 hours). I use immediately.
It never hurts to add one more level of security. A passcode is a simple way to keep others out of your info / mail / information. I have set the auto-lock to 5 min on the iPad.
If you are using the Apple iPad at school, work or at trade shows, you can protect it from theft with the STAYPad Security Case from Doss Industries.
The Model K2.0 also covers the HOME button to prevent the interruption of your presentation. (Makes a great kiosk!)
All metal construction, the STAYPad can be secured to a table with a cable or screws.
For more information, visit http://www.staypad.com
I use my iPad about anywhere. There are a few services to help you locate your iPad, http://www.apple.com/mobileme/features/find-my-iphone.html. but I am not aware of any theft protection items. Locking the screen is a good start. Maybe a protective locked case.