I lived in middle-of-nowhere Texas for several years, and I think the only time I ever locked the door to my home was when I left for two weeks at Christmas. If my car didn't automatically lock itself after you get out, I would have left it unlocked as well, with the key lying in the center console.
I live in Brooklyn now. Things are a little different here. My door has a $350 deadbolt lock that -- when it broke and locked me in -- took a locksmith, a serious drill and a couple hardened bits to defeat.
Whether you should lock something and how secure you make it isn't a binary decision - it depends on the value of the thing you're protecting and the likelihood of an attack.