No. Some people do, but many budget places insist that you use their padlock as they'll have a spare key and won't need to kick the door down when you lose your key.
Regardless of whose padlock you are using, losing a key can result in expensive fines. If you really don't feel you can trust the place enough to use the locks they supply, you should probably reconsider where you are staying.
Once inside, do consider some type of cable to lock your bags to something too big to fit through the door or window.
Please find below some of the more frequently asked questions (FAQ) people have about travelling to Laos. We've tried to answer all the most frequently asked questions, but if you have another query about Laos, please try our Travelfish messageboard.
Is it possible to rent rooms or dormitories for longer periods of time while travelling in Laos?
Rooms: Is a fan room ok, or should I budget for air-on?
What should I do if a bag is stolen from my room or dormitory while travelling in Laos?
What standard of accommodation can I expect for US$5 in Laos?
Why are there so few dormitories in Laos?
Why are there so few hostels in Laos?
Can I drink the tap water in Laos?
How can I avoid MSG in Laos?
How do I avoid peanuts in Laos?
I have a food allergy -- what should I do when travelling in Laos?
Is there good vegetarian food in Laos?
Is western food available in Laos?
How reliable is the public bus system?
Is it easy to hitch-hike in Laos?
Is it easy to rent a car or motorcycle in Laos?
Should I get a tourist minibus in Laos?
Which is better, speedboat or slow boat?
Are credit cards accepted in Laos?
Are there ATMs in Laos?
Can I send money out of Laos?
How can I have money sent to me in Laos?
Should I bring travellers cheques, credit/debit cards or cash to Laos?
Should I tip in Laos?