You raise three issues:
1) protecting your computer from theft - paying attention to your environment, never letting it leave your possession (I can't believe how many people walk away from their computer at coffee shops), a cable and/or motion detector alarm.
2) dealing with the theft - computer insurance and perhaps software such as
Back2U. Insurance can be bought by companies that specialize in computer insurance or as a rider on your home owners or renter's insurance. I have a rider on my home policy that covers theft from anywhere but an unattended car, damage (including stupid human tricks), acts of god, and even replacement of software. The cost is under $100 a year extra and covers all my computers not just the two notebooks we own.
3) safe guarding data - I have to agree that this comes down to a bit of a hassle. I cover it two ways: I limit how much important personal data is stored on my notebook. All passwords and account numbers that I absolutely need are stored in 1Password from Agile and I keep that program locked under a password that is used nowhere else and very secure. I keep program files that are sensitive in an encrypted disk image and there aren't that many.