There are several security apps that can do this (like Avast Anti-theft, Cerberus, Lookout, & Where'sMyDroid). Most of these apps let you remotely wipe the phone's data, take photos, record audio, turn on GPS and track the phone so that you can know EXACTLY where the phone is. And once you get near it, you can remotely blare an alarm (at full volume) on the lost/stolen phone so that you can definitely find it, even if it's hidden in a drawer. FYI: In order to access the app, (since it's completely hidden) you dial a secret code on your phone's dialer, and Avast opens.
For security against thieves, I use Avast (free) because it's free and (for rooted users only) Avast allows you to bury the anti-theft module in the system folder, remove it from the app tray, and rename it to something like "MediaServer", so that it basically can't be found by thieves and can only be removed by re-installing the system ROM. Hopefully you'd be able to locate the phone (from a web browser, and alert the police) before the thief could accomplish that.
But for conveniently finding a lost phone, I use Where'sMyDroid (free version), because it's very easy. If you lose your phone (e.g. on the ski slope), you can just borrow a smartphone and send yourself a "Locate" text message (which you can customize to be something like "Find my phone"). Your lost phone will send back its GPS coordinates and a Google Maps link to its location. Then when you get near it, you send it a "Blare" text message (which you can customize to something like "Blare my phone") to turn up the volume and blare and alarm sound.
