It really depends on where you are living, and can differ greatly even between different halls in the same university. I find that in general, halls which are arranged as flats rather than corridors are more secure.
Two years ago I stayed at Warwick Uni with my then boyfriend. He was living in a long corridor. All a thief had to do was tailgate and look innocent so that the person in front of them would politely hold open the front door, assuming that they actually lived there. He could then get into the corridor, and into any room that happened to be unlocked. When I was staying, my boyfriend and I were sitting together in his room when the door opened and two guys looked in. He had never seen them before, so he asked what they wanted. One of them said, "Oh, sorry, we're looking for Sophie." My ex said he didn't know who Sophie was, and they apologised and left. A few minutes later, there was a knock on the door and his friend Katherine came in. She asked whether we'd just had two guys barge in looking for Sam. They got suspicious and called security. My ex and Katherine were right at the beginning of the corridor, nearest the door, so the two guys would only have been in the building for a few minutes at most. During that time, they found three doors open with no one inside, and took three laptops. One of my ex's friends, Louise, had just gone into the kitchen, which was directly opposite her room, to put the kettle on. She was gone for a minute, and her laptop was taken.
At Bristol, the halls which are arranged as corridors have some security measures in place. However, the "solution" appears to be that whenever you shut your door, it automatically locks, which means that people are constantly getting locked out of their rooms. On the first night, I believe one hall had over 50 call-outs for people who had locked themselves out. Many people managed it within the first half an hour. This means that some people prop their doors open, which isn't exactly secure. The hall staff say they will confiscate anything found being used as a doorstop, but they can't be everywhere, all the time.
I personally find my flat to be very secure. This is because I have a key to get into the building, the flat and my room. You can also get into the building if you know the code for the outside door, but to get into a flat, you need to either have a key, or someone needs to let you in. The flat doors lock automatically. The bedroom doors don't lock automatically, and I tend to leave mine open when I'm in the kitchen, but we know that no one can get in without authorisation. The advantage of living in a flat is that from day one, you know who is supposed to be there and who isn't, whereas in a corridor it can take a while to get to know everyone, and in the first week or two, someone could easily walk in and no one would ever know they didn't live there.
One final plea: You will usually be given a key with your room and/or flat number on it. Please, please don't attach it to any form of ID, or keep it with anything that says which residence you live in. If you lose your keys and they have your address on, it's basically a message saying, "This is where I live and here is the key. Please feel free to come and take all my stuff."
If you lose your bag, containing both keys and ID, tell your hall staff immediately, as they will need to take extra security measures until you find your key, or until they change all the locks.