I worry most about someone stealing my identify or compromising one or more of my financial accounts.
The phone has access to your contacts, past email, browsing history. More important it has access to your current email account and current phone number. Email and phone are often tied to financial and personal accounts as one of several means to verify the identify of someone communicating with them and also to notify accountholders promptly of suspicious activity. If the thief starts trying to break into your accounts, he may be able to reset your email password (based on having your phone) and lock you out. I don’t know the specifics about how they’ll get all the way through but I am sure it can be done because I’ve heard plenty of stories of people having their identities hijacked, so I don’t want to give them those crucial first few points of access through my phone / email.
Now let’s think about the possible outcomes after your phone goes missing, from best to worst:
1 - Best – get your phone back, data intact
2 - Almost as good, get your phone back, with data wiped.
3 – Almost the worst possible – Theif keeps your phone, but data is wiped to prevent identity theft.
4 – Worst possible – Thief keeps your phone and data is not wiped in time to prevent identify theft
Now let’s say your phone goes missing (you don’t know where/how but it’s gone).
If you have no lock on your phone, you darned well better try to wipe it as soon as you can. So best possible outcome is 2. Worst possible outcome is 4 (maybe you didn’t recognize phone was gone for awhile, couldn’t get to a computer before the theif got in and stole the underpinnings of your identity).
If you did have a secure lock on your phone, you are in no rush to wipe the phone remotely because you know your personal data is safe (if thief does that, so be it… he can only get in by resetting, which protects your personal data). So you can track it and report it… who knows maybe a friend found it… your best possible outcome is 1. Your worst possible outcome is 3 because thief has to reset a locked phone to get into it.
So unlocked phone results in outcome 2-4. Locked phone results in outcome 1-3. Both the best AND the worst case scenarios are improved if you have locked your phone. And by the way, there may be people close to you who are not quite as trustworthy as they seem who might install spy apps on your phone while it's laying around unlocked (trust is good but removing the opportunity / temptation is better). So locking your phone is prudent for many reasons in my view. But it depends I guess on how much vulnerabity you think lies in your phone vs how much inconvenience it costs you. I use a tasker profile to adjust the lock time depending on the location. I also have a quick easy manual lock that I use when I know I'm putting my phone down/away for awhile.