Suppose you lost your phone *gasp*, current security features on the myTouch 4G allow you to lock your screen, and sim card.  What about the microSD card? 

My concern is if someone gets a hold of this phone it appears all you have to do to get information off of it is to tether it to a computer via USB.  Are there any security features to protect your data?  Like a prompt for a password when the device is connecting to a computer?

You can with third party applications, look through the market there are apps that will allow remote wipe (of device memory and sdcard), remote locking, location tracking (to find the lost device) etc.