To prevent unauthorized access to your personal data it can be useful to activate an OpenFirmware password and to turn off automatic login. After activation you can not change your boot media without entering the password. This even prevents you from booting the Mac OS X Installer CD to change your password (except if you know the OpenFirmware password).
To set up an OpenFirmware password, read this article and download the graphical setup tool provided by Apple.
A comprehensive description of the whole progress can be found in the book Mac OS X Hacks by O’Reilly.
Please be aware, that you try this tip on your own risk!