My Thinkpad X61s is tiny and powerful, so I like to take it places with me. Of course, when you go places with a laptop, there is a risk of it getting lost, broken, or stolen. For me (as for most people, I would guess) the integrity of the data on my laptop is far more valuable than the cost of the laptop itself. In fact, there are two measures I take which almost entirely mitigate the risks of getting my laptop stolen (lost, broken, etc.). Consequently, I have become more willing to bring my laptop places. Here is what I do:
Use hard disk encryption. The Alternate installers in Ubuntu and Debian give you the option of easily configuring an encrypted hard disk. Everything (except the /boot partition, but even your swap) that goes onto the disk is transparently encrypted. You just need to type a password whenever you boot up your computer. There is some overhead associated with encrypting everything, but if you have more than one core you will rarely notice it.
This means that, should your laptop fall into the wrong hands, no useful information whatsoever can be extracted from the hard disk.
For this to work well, you need to lock your screen when you are not using it, and your computer needs to be configured to lock the screen when you wake from suspend. It should be noted that some attacks have been described on hard disk encryption techniques. While the risk of these attacks remains low for most targets, if you are paranoid you would have to shut down (not just suspend) your computer before taking it places. You would also have to consider either overwriting the most sensitive areas of memory before you shutdown, or leaving your computer powered off for a couple of hours before taking it anywhere.
Keep backups. I do my backups over the internet so that I can backup from anywhere. I use a variant on the following script:
rsync -vaxE --delete --ignore-errors --delete-excluded --filter="merge excluded-files" /home/phil/ remotehost:/path/to/backup/destination/
excluded-files is a file that looks like this, and contains some paths that I don't want backed up (usually, local cache-like places that are generally space-consuming and not terribly useful):
I run this about as often as I can remember to, and before I shut down my laptop to take it somewhere. That's all there is to it.
With this measure, I can be quite confident that were my laptop to vaporize, I would lose nothing at all. It has the fortuitous side effect of making it super easy to reinstall an operating system.