If you have a MobileMe account (http://www.me.com/) and turn on the feature in your iPhone’s MobileMe account preference, you can locate your phone in two ways:
1. Geophysically. The onboard GPS reports back where on the planet the phone is and displays a Google map of its proximity.
2. Sound. You can send a message to the phone from the MobileMe website that causes the phone to vibrate and play the Sonar pinging sound (a little too quiet if you ask me).
Here’s what the MobileMe interface looks like:
You can also send a signal to remotely wipe all the info on your iPhone.