I just read Astrogirl's post about having her bunny coat taken. I don't want to get into a "blame the victim" trip here but in my opinion people should think twice or maybe even thrice about leaving valuable items out in the open. Maybe they should think about just not bringing them at all. When you have 35,000 people running around there's just going to be some bad apples mixed in and anybody who fools themselves into thinking that isn't the case is a prime target for this kind of theft.
Summary: Don't bring anything to Burning Man that you're not prepared to lose!!! I think this should be generally emphasised a lot more next year.