I am not a computer security expert. Please read the Security-HOWTO for more information. I just collected some information below. Note, these means are just small steps to additional security, though I recommend that you use them.
LASG Please read Linux Administrator's Security Guide (LASG) - FAQ by Kurt Seifried.
International Kernel Patch: The idea of the International Kernel Patch is to collect all crypto patches so that using crypto in the kernel will be easier than today. The patch includes a number of crypto patches including a crypto API including Blowfish, CAST-128, DES, DFC, IDEA, MARS, RC6, Rijndael, Safer, Serpent, and Twofish, an encrypted filesystem loopback device using the crypto API, CIPE VPN and EnSKIP patches.
Kennsington Lock: As far as I know proprietary lock solution with different laptops http://www.kennsington.com
SmartCards: by DESKO http://www.desko.de are not available for Linux yet. The only available laptop with a SmartCard builtin is the Siemens Scenic Mobile 800.
User passwords: can be easily bypassed if the intruder gets physical access to your machine
BIOS passwords: are also easily crackable, though sometimes harder than with desktops
Name plates: to reduce the possibility of theft, you may want to have a nameplate made and affixed to the cover of the laptop. A nice one will cost you about $12, and can be made by any good trophy shop. They'll glue it on for you too. You could use double-sided tape instead, but glue is more permanent. You may even make an engravement into the laptop cover.
Boot loader: a boot loader may be used to put your name and phone number (or whatever text you choose) into the boot sequence before the operating system is loaded. This provides a label that can't be removed by editing files or even doing a simple format of the harddisk.
Antivirus policy: I have seen an antivir RPM somewhere. Check the BIOS for an option to disable writing at the boot sector.
Database of stolen laptops: I have provided a survey of databases for stolen laptops.
Laptop as a security risk itself: Since a laptop can easily be used to intrude a network, it seems a good policy to ask the system administrator for permission before connecting a laptop to a network.
Secure Protocol: When connecting to a remote server always use a secure protocol (for instance ssh) or tunneling tunnelv , pptp.