One more thing to add.
I ended up leaving my money & passport in the room (I stayed at a budget place). I simply felt that the place's safe. Just don't leave money or valueable items out in case people could see from the window or if the door is opened when cleaning ladies are working in the room.

And yes, always lock the door. I mean you wouldnt leave your house door unlocked so why would you want to leave the hotel room door unlocked?