How secure do you want your Android device to be? The screen lock is your first line of defense against those who want to abuse your data--and they're out there--so it's best to see it less as an annoyance and more as a very small price to pay for data insurance. You've got three options baked into Android:
Pattern: This is undeniably cool (a gamer friend calls it his "sigil of entry"), easy to remember, and by far the simplest to use every day. Unfortunately, it's also by far the simplest to crack, most often by checking the touchscreen for residue left behind by frequent swiping. Unless you keep your screen so clean it sparkles or so filthy no one would want to steal it anyway, this is the least secure option.
PIN: Using a PIN is comfortingly familiar, and four digits aren't so hard to remember for most of us. There's still a risk of simpler cracking thanks to screen residue, but a PIN is still much tougher to crack than a pattern. For most of us, it offers a decent balance between security and ease of use.
Password: This can offer the highest level of security but also the lowest. Since it's the biggest hassle to actually enter each time you want to use your device, you need to make sure that you pick a password that can't be guessed easily (learn how here). Entering that tough password may be a pain, but even in aggregate, it's less pain than you'll feel if some street thief or corporate spy accesses your pictures, passwords, and contact list.
Changing your screen lock option is simple, and you may want to mix up your security options depending on your location. Here are step-by-step instructions:
Press the Menu button, then Settings, then Location and security.
Under Screen unlock settings, press Change screen lock.
Confirm your currently used unlock pattern, PIN, or password.
Select your new security option (or None if you're feeling reckless).
Enter the new pattern, PIN, or password and then enter it again to confirm.
It's an excellent idea--essential, really--to write down your pattern, PIN, or password and leave it somewhere secure, as it can be extremely tricky to bypass the screen lock in case of emergency. This is as it should be, of course, but since it's not impossible to bypass, you should consider more advanced security options if you've got data that's too hot for anyone else to handle.