Apple has added two-factor authentication to iCloud and everything else connected to your Apple ID. This adds a nice boost to security for the service. Here's how to set it up.
Two-factor authentication is an easy way to secure your accounts and essentially makes it so you're logging in with two things: "something you know" (your password), and "something you have," (your phone). Here's how to enable it on your Apple ID:
Select "Password and Security" and enter in the answers to your security questions.
Under "Two-Step Verification," select "Get Started" and follow the instructions on screen.
You should see the devices you're using. If not, enable "Find My iPhone" on your device (Settings > iCloud). Click "Verify" and it'll send you a four digit number.
In the next step you'll get a recovery key. Print or write this down and keep it in a safe place. This is the only way to regain access to your account if you lose it.
Confirm your recovery key, and then click "Enable Two-Factor Authentication."
Once it's set up you'll have to enter in both you password and the four digit code Apple sends you any time you want to make a purchase in iTunes, the App Store, or the iBookstore from a new device. Head over to Apple's support page if you have any problems setting it up.