For security, once the phone is up and running, disable USB Debugging.
Also, Google recommends relocking the boot loader for additional security.
However, if you think you will want to root or play with custom roms at some point, don't lock the bootloader. Remember, everytime you unlock it it wipes the phone. If you have a PIN/Password and USB debugging is off, the phone is pretty secure. If you refuse to use a PIN/Password, I'd recommend locking the bootloader so that someone can't gain root without wiping the phone.
To relock the bootloader: fastboot oem lock
Also, Google recommends relocking the boot loader for additional security.
However, if you think you will want to root or play with custom roms at some point, don't lock the bootloader. Remember, everytime you unlock it it wipes the phone. If you have a PIN/Password and USB debugging is off, the phone is pretty secure. If you refuse to use a PIN/Password, I'd recommend locking the bootloader so that someone can't gain root without wiping the phone.
To relock the bootloader: fastboot oem lock