Fewer than 500 words...
Imagining the unimaginable... Your Laptop/iPhone/iPad's been stolen!
It's awful to even have to think about it, but it DOES happen. What if it happens to you? Think about it before it happens and you can at least be ok.
There are three main things to consider:
1. Your device - A small percentage of these items get recovered, but it's a very small percentage and the odds are against you. You might use software on your Mac to locate it while a thief is using it. There are commercial applications that will do their best to help you in this regard - check out GadgetTrak and LoJack if you want to go this route, but be careful to take additional precautions like enabling a firmware password and creating a "honeypot" account to get a thief to log in and encourage use so you have a chance to track the machine. But honestly, don't plan on getting it back. Instead, make sure you have insurance to get your device replaced with as little fuss as possible.
2. Unauthorized access to your data - While you can, imagine the liability you face if your data is "in the wild." You should consider this well in advance so you can either use Apple's File Vault, an alternative, or limited encrypted archives to cover your sensitive data. Do not delay in setting up Find My iPhone, especially now that it's free! This service will allow you to track the location of your iPhone/iPad/iPod Touch and remotely wipe the data on it.