There are 3 types of password protection available. I'll explain them all, so that you decide if you actually need any of them:
A Windows password will prevent someone who has 'casual' access to your laptop from seeing what's on it but it won't stop someone with rather more time (such as the thief who's nicked it) from accessing it. [There are ways of bypassing Windows passwords]
A BIOS password, which needs to be entered even before Windows starts to load, is slightly more effective because anyone who wants to defeat it has to get inside the laptop in order to disconnect the CMOS battery.
If you've got things on your laptop which you really need to keep secret (such as those NATO defence plans which you just happen to have in your possession) then you need to encrypt either the hard drive as a whole or the relevant folders on it. If you use decent security software (such as Steganos) there's no way that even the combined forces of the FBI, the CIA, MI5 and GCHQ can access your data without knowing your password to remove the encryption.
My own laptops don't have either Windows or BIOS passwords but they do have encryption software on them just in case I want to keep something away from prying eyes.