Do you mean locking the object in position rather than locking the layer? Or the 'bring object to front' layer? because I've had problems with both.
The number of time's I've tried to move one object and inadvertently moved another overlapping one is too numerous to count - especially when using a large background behind decor clutter. Also whenever I've reordered one item or pulled it to the front, other item's I didn't want at the front have come forward. A 'lock object' would make it a lot easier or, at least, a lot less fiddly.