I tried a few of them: Norton, Lookout, and some others.
Then I found Avast, which works really well and I even forget about it - it doesn't affect the phone's performance at all (or at least I don't notice anything, and the CPU usage is very low).
I thought it was missing something, but then suddenly it was there: you can track your phone online via their website. Actually see the phone on the map! I needed an extra app to do that. Or pay for a pro version of another app.
Recently, I tried another SIM card in my phone. I totally forgot about Avast running. And there it was: the alarm was triggered, loud siren and fancy stuff. Worked great!
And it's free.