Here's one which I would consider almost indispensable.
If you lose your phone, you can have it display a message giving details on how to return it to you. You can even have it speak out loud with the synthesized voice. You can have it sound a siren (which attracts attention to the thief or just makes it easy if you've lost it in your room somewhere. A particularly nice set of features is the GPS location so you can find out exactly where your phone is. And you can have a message come up on the screen with an OK button, and as soon as they press the OK button, it takes a photo - handy to grab a snapshot of whoever stole your phone. You also have the option of completely wiping your phone's memory and SD card.
Best of all, it's COMPLETELY FREE
Seriously, I can't recommend this app enough.