the '8 great apps' link is spot on.
I also want to suggest this one: Mobile Defense. What it does is similar to lookout mobile but I find it has better functionality. Its a 2-parter (app and webpage from a computer) so basically you register on the website:
http://www.mobiledefense.com. You are able to log into the webpage and do a GPS search on your phone should it become lost/stolen. You will also be able to lock the phone, send it an SMS and initiate a very loud noise for location.
To install as a normal app,
click here. You don't have to be rooted for that.
BUT!!!!! if you ARE rooted, this is where the magic happens.
Use this thread as a tutorial and you will be able to install it as a system app (by flashing the zip,
found here).
What does that mean? It means that it can't be uninstalled and it stays invisible
So essentially a person who jacks your phone won't even know its there and enabled to locate and bust his butt. I think you'd have to do a full data wipe through recovery to get rid of it, but I'm not sure about it, and your typical thief isn't going to know how the hell to do that. Its likely that they wouldn't think to search for this sort of app to uninstall in the first place, but still it's a VERY nice feature for root users.
I basically have three ways to find my phone now: Mobile Defense (GPS locater via webpage), Lookout Mobile (GPS locater via webpage + antivirus + data backup) and Where's My Droid (if ringer is on silent and you lose it, you send your phone a text with a custom phrase that turns the ringer on for up to 5 minutes).