Fools leave their iPhone without a passcode lock. Shortly after getting the original iPhone, threads began popping up about people losing their iPhone and having their accounts hijacked, etc. That was enough for me to setup a lock. 5 minutes is a good sweet spot for me. Muscle memory is a beautiful thing. I can passcode unlock my iPhone without even looking at the screen. It's not difficult by any means and only takes an extra second or two. Voice dial helps alleviate any need to look at the screen to unlock in the car, as it bypasses the lock until you want to access actual phone features.
MobileMe is a must have if you care about your data or phone. It costs $69 on Amazon. It pushes email, contacts, calendars, and notes, while providing photo album services, hosting for my website, and passcode download access to files for my customers. But the best reason is Find My iPhone. I can remotely wipe, send messages and sounds to any missing device, as well as lock onto its GPS location and track where it is at. Not bad for $5.75 a month.
It will be fun to read the threads in the coming months from these very users who lost their iPhones and are having all their data stolen because they didn't passcode lock. It seems like this goes hand-in-hand as someone who loses their phone is likely to be less responsible on average. Those who don't passcode lock are likely less responsible, on average, as well. What a bad combination!
As a last ditch effort, if you are really worried that someone is going to try to call you to give your iPhone back (Unlikely people! Wise up.), you can always use a simple image editing application and put an emergency contact phone number on your lock screen's wallpaper. You can also download apps that will automate this for you.