Although popular television shows such as "24" might make it look like a cakewalk, stealing an entire nuclear bomb isn't easy, even for practiced terrorists. But obtaining the parts of a nuke is a different story, and unsavory characters certainly have tried both routes. The International Atomic Energy Agency, which tracks such incidents, reported 1,340 instances involving illicit trafficking and similarly unauthorized activities occurring between 1993 and 2007. That's pretty scary.
Since a terrorist can't exactly tuck a nuclear warhead under his or her arm and hightail it for the fence, obtaining highly enriched uranium (HEU) or plutonium would be the next best thing. Such transactions happen. In 2006, authorities in Tbilisi, Georgia, arrested a group of people trying to illegally sell HEU. The obvious key to preventing these situations is securing nukes and nuclear power plants.
As more people wean themselves off fossil fuels and more nuclear power plants come online, the issue grows more urgent. You just may want to brush up on your nuclear knowledge by reading How easy is it to steal a nuclear bomb?