We never, ever leave anything of any value in the stroller unattended. This means lugging a big bulky backpack on every ride, but it's worth it to us. A friend of mine recently went to DL and had their entire stroller (with recently bought merchendise in the bottom) stolen. When they reported it to Lost and Found, they were told that strollers are stolen every.single.day at the park.
A co worker of my DH's was at the park a week before us (so two weeks ago) and left his hat (just a regular ol' basball cap) in their stroller while on a ride, and when they got back, it was gone. Obviously that wasn't of much value, but it goes to show that there are dishonest people out there who will take pretty much anything, even at the happiest place on earth.