I have lost some phones and they were password protected..On the older phones their are a few ways to bypass the built-in code protection but this new smart phones have this 3rd party apps to lock-up your phone which I bet their are very thought to bypass.
Anyway right now , I own a Nokia C5 and Nokia E7 and I'm using the built in protection (the E7 has F-Secure Anti-theft protection while the C5 has a built in protection which I can bet it can be bypassed)