iPhone lets you use a 4-digit password to lock your phone. I realize that’s not very secure, but I’d like to keep my e-mail and contacts from casual reading if I happen to lose my iPhone. It’s a little bit of a pain, but Apple helps lessen it.
For one thing, you can use the headphones to control the iPod without unlocking.
You can see the current date and time without unlocking — I know lots of people who use their phone as a clock, and I sometimes do myself.
And you can receive incoming calls without unlocking! (I just noticed this today.) This is hugely convenient. Once the call is over, the phone is still locked.
For better or worse, iPhone doesn’t save any web passwords. There’s no equivalent of the Mac’s keychain (which holds passwords and encrypted notes). I suppose this protects me if I lose the device, though I’d prefer the ability to set a strong password on a keychain.