Lets imagine the follow scenario: you are in a coffee shop or something like that, using your mac to read your personal email or check your bank statement. The waitress calls for you saying that your drink/snack is ready, you know that is safe to get up and go get the food, because you will be away for only some seconds, and you can see your mac all the time, but to prevent some abuse of the nice girl next to you that can easy get access to you email or bank information you need to secure your mac, how to do this? Easy, like i will explain next. 

This situation can be avoid by looking the screen with the password protected screen saver built into Mac OS X. To enable this you will need to do the next steps:

• "System Preferences > Security > General" and enable the option: Require password to wake this computer from sleep or screen saver
• Now you need to enable a way to start your screen saver when needed, you have two choices to do that: you can set a corner to start the screen saver or you can enable the option "Show status in menu bar" found in Keychain Access program preferences.

Now a padlock will appear in your menu bar, all you need to do is click in the padlock and a menu will appear where one of the options is to lock screen.