Apple offer a program called MobileMe which is accessible through the Internet. This lets you erase all information on your phone and basically "lock" your phone if it is lost or stolen.
This has been all over the net recently, which somewhat gives insight into MobileMe:
"The "kid" Lam referred to is reportedly Apple software engineer Gray Powell, who allegedly left the device on a stool at German bar Gourmet Haus Staudt in Redwood City, Calif., last month. The person who retrieved the device apparently tracked down Powell through a Facebook app on the phone before Apple remotely wiped the device."