For Find My Mac, if your system is ever stolen you can log into iCloud.com or use the Find My iPhone app on an iOS device to locate your device, send it a command to lock it down unless a password is supplied, have it issue a sound (also a great option for locating a misplaced iOS device), or remotely wipe the device. See How to track a lost computer with Find My Mac for more details.
Overall, while Apple can do very little to prevent your computer from being stolen, OS X does its best to protect the data it holds as well as offers a chance that you can pinpoint its location. With these options enabled, you can be sure your Mac's data is as safe as possible, with little to no inconvenience for you.
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