I stayed in the New Road Guesthouse in Bangkok, operated by Danish folks, and I had an amazing experience. Be it service, security or any sort of guidance - they were a 100%.
In terms of security, most of the hostels I have been to, have had a locker facility - you might have to carry your own lock though.
The front desk of a hostel usually takes care of your stuff while you are out, if you deposit it with them.
Having said that, I have never, ever, left my passport / money behind, when not in the hostel. Why take a chance! One bad experience is all you need to put you off of traveling for a long while.
Have a safe trip!
[ Edit: Edited on 07-Mar-2009, at 01:39 by kidintown ]