Maybe you got a nosy roommate. Perhaps some evildoer snatched your precious iPad. Regardless, adding an extra layer of security to protect your data is always a good idea.
The good news is that setting up a password for an iPad is pretty easy. Before you do so, however, you might want to make a backup of your iPad via iTunes. That way, you can restore from backup in case you forget your passcode in the future without having to restore it as a new device (If you do make a backup when a password has already been made, you will have to restore your iPad as a new device if you forget your password, unfortunately).
Anywho, to start the password creation process, click on the "Settings" icon or app from your main screen (it's the one that looks like gears).
In the Settings menu, click on the "General" tab, which is the fifth option from the top after "Picture Frame." This will bring out several options to your right. Click on "Passcode Lock," which will be the seventh option from the top.