There's a couple programs out there that will lock your phone remotely if you send certain text, or delete data, or send you it's GPS location.
One highly recommended program (it costs money however) is
Sprite Terminator. The PPCGeeks thread about it is
here, and I believe you'll find a few links in there to other (free) programs that do similar things.
Good luck, I'm sure there's plenty more out there!