Undercover
This is was the first app that I purchased after I purchased my MacBook.
When your Mac is stolen you call in to Orbicule and report your Mac stolen using your Undercover ID. Orbicule will then begin to track your Mac whenever the thief gets online, all this time transmitting screenshots of the desktop, and pictures of the thief from your built in iSight, if your Mac has one. If recovery fails, the first time, your Mac will begin to simulate a screen failure rendering it useless, so the thief will be forced to either sell it on Ebay, or take it to an Apple store to be repaired.
At that point, Undercover will display a full-screen message alerting the reseller (or the person who bought the Mac from the thief) that the Mac has been stolen, that it has become unusable and that it needs to be returned as soon as possible. Orbicule's contact information and a promise for a finder's fee will be displayed as well. Additionally, your Mac will start shouting the message.
For me this is an app that I install and forget. Literally. Undercover only uses half the resources that one dashboard widget uses, so don't expect your Mac to take a performance hit.
iAlertU
iAlertU is like a car alarm for your Intel Mac with FrontRow. It can be enabled by pressing and holding the Menu button on your Apple remote. When enabled, iAlertU will detect any keystrokes, trackpad movement, mouse clicks, motion, or shutting of the screen, and sound the alarm taking a picture of the would be theif.