You can configure OS X to require the account password every time it boots or comes out of standby mode. But the password can be reset by somebody with access to an OS X system DVD. Go to System Preferences > Security if you wish to change these settings.
Than there is some low-level voodoo to improve the password protection:
Open Firmware Password Protection is not part of the vanilla OS X installation but delivered with the system DVD (please read the linked FAQ carefully)
The anti-theft shareware
Undercover phones home via internet if you report the theft. It will submit screenshots and other information (iSight webcam snapshots if available) and if the thief can't be identified it will simulate a hardware failure after a certain period, motivating to take the stolen Mac to an Apple seller or to ebay. Again after a certain period it will display a notice that this hardware is stolen and a promise of reward.
Also at System Preferences > Security, OS X has a built-in on-the-fly encryption named FileVault. It creates an encrypted partition located at your Private folder. Using FileVault may decrease the read/write performance of the system by a few percents. If you lose the FileVault master password and your account password, the data is pretty much gone.
There is a latch on the back of the Mac Pro that you can secure with a padlock, so nobody can take out the hard disks or other components without the use of force.