I use the power on password. Takes all of 3.5 seconds to input a 4 digit password. If that. 4 numbers gives 10,000 possible combinations to I'm pretty sure that I'm ok with that. An alphanumeric password with 10 digits is closer to 604,661,760,000,000,000 depending on character set support etc.
Of course if you store sensitive information on storage card or built in storage then the power on password is useless. It only protects stuff in main memory.
There are encryption programs out there that will protect your files but I doubt that they are free. Try
http://www.pocketgear.com and you might find something.