The problem with this is that we are all fallible. If you forget your password, what can you do to recover your Pyra? Is this when you would resort to WizardStan's suggestion, or do you want that possibility thrown out completely? The password issue is the same for the ideas for pseudo-bricking and otherwise disabling the device, or anything along those lines. If you set a good password and don't use it for 2 or 3 years, then you suddenly need it will you still remember it? I personally can't remember passwords I set for things 6 months ago and haven't used since then (but this can happen when you use unique, long passwords of mixed characters that you do not write down or otherwise record outside of your brain and the system it is used with). Even if it is required on every boot, which will quickly become irritating if you reboot frequently, such as because your battery dying over the course of the day, if you set it aside for a little while, then return to it, either to resume using it or to sell it, if you have forgotten that password you might not be happy.
I personally don't know a lot about JTAG, I just knew before something like this existed and I'm sure I saw a connector on some of the Pyra PCB pictures.
If it works like I think it does and like I understand WizardStan, then it's absolutely impossible to brick an open device which has this kind of connector. You can only physically destroy it, there is no way to lock it down completely or brick it completely with just software.
So, yes, what I mean in my suggestion is to have the password check so early in the boot process that you can only get around it by reflashing the boot loader using JTAG.
And when I said "Password is set (or disabled) on first boot." then I meant it like this: On first boot it says something like "If you want you can set up a boot password. By doing this you can make it very difficult for someone who doesn't know the password to unlock your Pyra. Only set up this password if you are sure to remember it; if you forget it you might have to send in your Pyra to ED for unlocking."
So with a huge warning to only use this feature if you want it and will remember the password.
An additional feature which would also be nice is if this bootloader would also support booting from encrypted media: It would store the pass phrase for the encrypted boot media somewhere in it's storage, and this pass phrase would in turn be encrypted with the boot loader password.
That way, even with JTAG access, you couldn't get at the data, you would be essentially wiping the device while unlocking.
Keep in mind I'm no security expert. What I describe should work in theory, but for it to make sense it would need to be implemented by someone who knows what he's doing.