We're all concerned about security on our devices. (If you're not, you should get concerned right now, darn it.) If you've just got to keep your information private, then one thing to think about is that anyone who has access to your iOS device also has access to Siri and potentially your Passbook stuff, even if you've got a passcode lock turned on.
Look at Siri, just hanging out there, willing to let anyone use my data. It's a crying shame, I tells ya.
Anyhow, you can turn those features off, but it may not be obvious how. To do so, you'll go to Settings> General> Passcode Lock and look under the "Allow Access When Locked" section.
As you can see, you can adjust the preferences for three features—Siri, Passbook, and Reply with Message. I've discussed replying with messages before, and the other two settings are pretty obvious. Turning off Passbook here will prevent that app from providing any information on your rewards cards and the like when your device is locked (and if you've never used Passbook, check out Sandro Cuccia's wonderful breakdown on the subject).
Turning off Siri, though, will keep anyone who grabs your device from accessing Apple's virtual assistant without knowing your passcode. If you use Siri all of the time, this may not work for you; after all, it's fairly inconvenient to have to put in your passcode every time you're asking for directions or what have you. But if you're very security-conscious (or if you don't use Siri much anyway), turning her functionality off when your device is locked is a no-brainer.
One final plea: If you don't have a passcode set already (especially if you store critical data on your device, like credit card numbers or tax documents), please configure one. Like, right this very second. Not having a passcode set could take getting your iPhone stolen from "wow, that really sucks" to "holy crap, I have to change the passwords for every single account I have and cancel all the credit cards I own and now I wish I could just crawl into a hole and die." Especially if you tend toward the über-dramatic, like a certain writer I know.