I just had my first iPhone 4 "being lost" scare. Couldn't find it in the car. Thought I'd dropped it on a street in ATL. But I got home and used MobileMe to locate it, said it was at my house, and played the sound until I found it under the front passengers seat. I've never used a passcode before, but I'm using it now for sure from now on.
But I just noticed, even with the passcode feature on - you can still turn the phone off without entering the passcode. So if I did lose it, or someone stole it, they could just turn the damn thing off. How useless is that?