Just to add to the chorus, hidden SSIDs will not protect you from those you have to worry about.. that is, those that are able to break in through your WEP encryption. Hidden SSIDs will only protect you from those that can't break in anyway :-) So, replace that WEP with WPA before you do anything else this day, that'll help much more :-)

There is only one security setting with WIFI that matters and that is what encryption you use. The rest are marginal, including MAC filtering.

WPA-PSK is the minimum, and if you really want to be secure-ish you want WPA-EAP (PEAP). Not sure how comfortable the N800 is with that, the 770 I had had issues with enterprise wlans.

Hiding the SSID and filtering MAC addresses will only marginally improve things, and they can both add problems (entering MAC addresses for any new device is a pain in the butt, and SSID-hiding can make things work less well.) It's not just the Nokias that dislike it, I've had issues with Pocket PC's as well when hiding the SSID.

Nope. My network is hidden and the N800 connects automatically to it, while the 770 did not.