First off -- and admittedly this is true of all iOS devices, not just those upgraded to iOS 6 -- the single most important thing you as a consumer can do to protect your data on your iOS device is to use a strong passcode. (Go to Settings --> General --> Passcode Lock, then "Turn Passcode On" and turn OFF the "Simple Password" toggle.)

While you're on that Passcode Lock screen, you might also want to tweak the Require Passcode setting by selecting a brief period of time before the device locks itself. "Brief" can be as short as "immediate." The downside is that you have to enter your passcode every time you let your device rest a bit. It's a trade-off between convenience and security. I suggest going with as short a time period as you can stand. Start short, then turn it up a bit if it really annoys you.

Why does this matter? Why isn't a four-digit PIN adequate? Because a lost or stolen device with a weak passcode puts all the data stored on the device at risk, as well as anything on iCloud or other network services you use.

And the passcode isn't just for locking and unlocking the device. It is used as part of the encryption key for data on the device (such as your email and app data that has "full protection"). If you use a simple PIN, an attacker won't have a hard time breaking that encryption and getting to your most sensitive stuff.

Of course, using a real passcode can be massively annoying. I use passcodes on my own iOS devices, and I'm not going to pretend it's never annoying. But that annoyance is nothing compared to the pain of having your data compromised. If the data on your device matters to you, there is no better single thing you can do as a consumer to protect it (other than not having the data on the device in the first place).