Well obviously it's stupid if you forget to password-protect the system.
This leaves the 'hacker physically removes harddisk' and 'hacker adds hardware keylogger' attack vectors.
At least the first can be worked around by either password-protecting the harddisk (which modern disks support, but I have no idea if there are BIOSes that can boot from protected disks) or even better to always boot from a usb stick you carry with you at all times and not have the boot code on the system at all. :)
The only thing you can do about 'hardware keylogger' attacks is probably to physically lock away the system in a safe or some other safe place.