Did you know that you can enable a strong alphanumeric password on your iPhone? You can, and you should.
That's certainly better than nothing, but you can do a lot better. As jkontherun explains, you can dramatically enhance your phone's security in minutes. Download Apple's iPhone Configuration Utility. This program is really designed for IT managers, but anyone can use it to push a security profile to your phone.
To use it, connect your iPhone to your PC and then run the utility. In the Passcode tab, check Require passcode on device and Require alphanumeric value. Then install the profile, and you can set a strong password for your phone.