We lock the door, always. We have one door(that you enter by a main stairway, we have 7 people living in this block) ,on this door we have 2 locks. when leaving for a long time we close them both, and when we leave for just a short time we just lock 1.
Also we have one door from the balcony, that we always close(we live on the second floor), because there are enough story's of people climbing up.
I live in Amsterdam, and in 2004 there were 86.000 houses got burgled. So we lock it!!!!
Another main reason that we lock it, is because they burgled our house around 5 years ago:
We were on the Camping (small house in nature area, summer vacation), when we got alarmed by the manager's daughter that there was broken into our house, so my mom and dad rushed home, and what they found they never forgot; Grass all over the floor, 3tv's stolen, 400 cd's, my dad's wedding ring, etc. My mom had so many nightmares about this, so now we have extra locks on the door.
Also from this time, we have this time switchers, so that the light goes on and off when you want, so they think you are home, warn neigbours to keep an eye on the house when going on holiday, etc.
Here is a link for tips on how to secure your home while you are on vaction.
I wish to live in a city were you don't need to lock your door, don't need keep your bag close to your body, and don't need to be aware of the danger that they can steal from you!
The movie Bowling for Columbine was a great movie, and makes people think a lot about this kind of things.