Since I'm in the house here I only purposely lock my main desktop if I'm running a big file transfer to USB or am connected via FTP or SSH to one of my servers. This way the cat cannot trounce on the keyboard and mess anything up. Don't let me tell you about the time she kicked on Window's Magnifier and it took me an hour to figure it out, D'oh!
Other that the my screen sleeps and locks in 5 minutes.
The Mac Mini is always on and awake as it runs the Magic Jack which is now the house phone. I have a hot corner setup to sleep the monitor which in turn locks the screen. It's connected to the same monitor as my main box but it's a pain in the neck to switch between VGA and DVI, so I normally VNC into the Mac from my main box, laptop, or iPod Touch.
The laptop's monitor sleeps & locks in 1 minute whenever I'm out and about with it I Win + L anytime I walk way from it.
Wow that was a long answer to a short question.