While I've never had a laptop stolen, it's something that's regularly on my mind. Just saw this new program for Macs and OS X.
http://orbicule.com/undercover/
This looks sweet! Helps you get your laptop back if someone thieves it. I especially like the screenshot and "broken for repair" features. When I get around to getting me a MacBook (blech) I'll seriously have to consider this. Universal binary baby!