People may know about both these already, but I only found about the first recently and the second today so:
1. Go to Play Store. Go to settings on top right. Go to device management. From here you can set up remote tracking, lock and wipe of any of your devices. Very useful if lost or stolen.
2. Get Prey. Register your device(s) and set it all up. Lots of very useful post-loss / -theft features, including the option to have an alert sent if a new SIM is put in your device, texting your nominee the new SIM's number. Swish. Also very useful and well worth an install as it's free.
Hopefully people will find these of use - I am half hoping I lose my phone now, just so I can call these into action!