There is indeed a way to do that, but the problem is that by the time you realize you've lost your iPhone, it might well be too late and someone might have already pulled your personal data off the phone. My recommendation is to get used to the numeric lock code. You might not realize it, but you don't need to unlock the phone if you get a call, so it's really when you want to play with the phone (uh, use the phone, that is) that you'd need to unlock it.

More useful, there's a setting in Settings --> General called "Auto-Lock" that lets you avoid having to enter the code for up to five minutes after the last time you've used it, which makes working with the phone pretty darn easy. After ten minutes or more, it's locked.

Anyway, you can remotely lock your iPhone, but you'll need a MobileMe account (something I've found well worth it for its automatic data sync capabilities), but if you do, then log in to the Mobile Me service on your Web browser. You'll see this:

Click on Find My iPhone and you'll hopefully not see this:

(to avoid that, make sure you have both location services and push services enabled)

Of course, if you have location service enabled and everything configured properly, you can see a map that shows where your phone is: that might be a better solution in terms of finding your phone...

But, let's go through the remote lock capability. To do that, scroll down a bit in your browser and look for the "Remote Passcode Lock":

Select it and you'll be asked to enter the remote passcode you want to set on your Apple iPhone (here I tested it with an iPhone 3GS, as you can see):

Enter it a second time...

Now you're good. Click on "Done" and you'll see:

Hopefully in a minute or two your phone will then be locked, with the numeric code you've specified as the key to unlocking it.

Still, though, I think you might need to rethink your iPhone security strategy...