If you get up from your computer, lock it!
Prevent others from viewing or using your computer when you step away.
For computers using Windows as its Operating System...
Photo courtesy of http://www.hendrikvh.com\
Press Control + Shift + Eject on your Mac's keyboard. This will put your display to sleep immediately, but will not ask for a password yet.
To enable the actual password option...
Go to System Preferences > Security and Privacy and select "Require password for sleep and screen saver immediately."
Photo courtesy of http://www.hendrikvh.com