WaveSecure Mobile (Free until the end of the month)
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Wheres My Droid (Paid version so I can use a eardrum-shattering ringtone)
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Contact Owner (Free)
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Lock screen
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If my phone goes missing, I have the lock set on the phone so they cannot easily get into it, and whoever picks it up will see my contact info when they turn it on so they can voluntarily return it.
When I notice it goes missing I can borrow a phone from anyone around me and send a text to my phone. The text will send my phone bat-$h!t crazy and I will be able to hear it within a decent earshot range.
Then if that doesn't work, obviously the person who picked it up is not planning on returning it. I go to a computer, remotely lockdown the phone, backup the info to the computer, then remotely wipe everything (personal info and all) on the phone, while at the same time tracking it via gps.
That pretty much covers everything on all levels of security... aside from chaining the phone to my wrist.