In addition to encrypting the hard disk (which should be the primary answer), you can also minimize exposure by relying more on resources stored elsewhere. Use cloud storage, or connect to a VPN for files stored at your workplace, rather than saving them directly on the device. A remote desktop services environment is also very good for this.
This reduced data loss exposure from device theft is one reason (among several) businesses have been so willing to move to cloud environments. I also know of at least one large business that is transitioning to Chromebooks for this reason. They still have a primarily Windows environment where the Chromebooks just connect to RDS for everything. Suddenly a lost device is much less of a big deal for them; it's only $200 to replace the device and there's no significant data breach risk.
You can also get remote management tools for laptops that will do lockouts and even encrypt or destroy data after the fact, but these are much less robust. It's too easy to just remove a hard drive from a laptop and plug it in as a guest in a different system. Then the lockout tool never runs and you can exfiltrate whatever data you want.