I'm using Seekdroid on mine, I like that I can send mean messages to the person lol. So if they steal my phone, I'd lock it and send it several messages, probably saying "Give me back my phone...I know where you are. You forget that this is an expensive phone, you are being tracked." And then probably throw some BS in there about the police coming if you don't give me the phone back.
Also, I'm interested in how someone could have taken the phone from you hands? If someone had tried that on me, I would've chased them down and beat the living hell out of them, hands down. My property is mine, and you aren't going to steal an $800 anything from me without a little fist in your throat.