I'd second Msb0b's recommendation of using Truecrypt. When travelling I carry a list of personal contacts, credit card info & just stuff I wouldn't like to be made public knowledge if the laptop were stolen. I like the fact that after you enter your strong password once Truecrypt becomes unobtrusive and you just use your encrypted drive as if it were a native hard disk. The BIOS password is nice in the fact that it does make it more difficult to boot your computer, but it does nothing to protect the data...if you remove the hard drive and put it in an external USB enclosure (or another computer) everthing is visible.

Just some random amateur musings...YMMV