Sprite Terminator (
http://www.spritesoftware.com/?page_id=280) is the most effective. It has the ability to completely wipe your device so that only a hard reset can be performed. Be careful testing this as it is VERY effective.
Remote Tracker (
http://remotetracker.sourceforge.net/) is open source and is very good. It has the added option of email (rather than only responding in sms) and will track movement over time. But it is not as effective in protecting your data as Sprite Terminator (total wipe of the system.)