As has been reported in many places (here, for one), there is a minor security issue with screen locking in Panther. To avoid this and generally provide a more secure screen lock, enable fast user switching in the Accounts system preferences under "Login Options" (even if you only have one user).
From now on, you can use the "Login Window..." menu item in the user switching menu to lock your computer instead of using the screensaver/sleep lockout. This menu item takes you back to the login screen without actually logging out, so all your applications will be the way they were when you "log back in." Your account is listed in the login screen as "currently logged in." As a bonus you also get to see the gratuitously cool rotating cube effect.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031031112407491