From the "It Should Have Been In Version 1" files comes a much-needed feature in Apple's watchOS 2: an activation lock. We learned a lot about what makes watchOS 2 special from WWDC yesterday, but it wasn't until Apple put up a landing page for the upcoming OS that this activation feature was revealed.
On account of the fact that the Apple Watch will be strapped to your wrist, it seems likely that iPhones and smartphones in general are at a far greater risk of being stolen, but when these things start at $349, there's no doubt that the Apple Watch will be a heavily sought-after item for thieves. Thus, an activation lock is going to be very important for a lot of people.
While it's not exactly clear how someone would be prevented from seeing the data that's already on the watch, Apple's activation lock feature will disallow the device from being activated after a factory reset without logging in with the same information that the device was originally activated with. This in effect means that if a thief doesn't have that login information, the device is absolutely useless.
As the picture above highlights, Apple will allow you to disable the activation lock, but that'd really only be useful if you were giving your watch away as a gift and didn't want the person to hit a roadblock when activating it. For everyone else, you'll definitely want to leave the feature enabled.