Didn't want this lost in the shuffle of the iPhone 4 thread. I know quite a few people here have had iPhones stolen or lost, or just wished for this feature in case of either happening.
This was previously part of MobileMe, but now it's just a standard feature. If you lose your phone, you can track its location over the internet from Apple's website. You can display a message on the phone (offering a reward, for example), and you can remotely lock the phone with a password. As a last resort, you can remotely wipe all of your data off the phone.
http://www.apple.com/iphone/find-my-iphone-setup
I've been using this service as part of MobileMe for over a year now. I've already recovered my phone once with it, and figured out were I left my phone a few times.