I am a strong proponent of data and feature centralization, I always prefer to have as much data and as many functions concentrated in the fewest places. I like to websites that are also blogs, video galleries, and intranets, which is why I develop my own sites. I like operating systems with powerful native software, which is why I use a Mac. And I like a phone that is more than a just phone, which is why I like the iPhone. Computers and websites are not terribly difficult to backup and relativity speaking carry a low risk of loss. But concentrating data on a mobile phone is a different matter.
The new iPhone 3.0 operating system now has a feature that allows MobileMe subscribers locate the phone on a map, make it play a sound, display a message across the screen and wipe all the data remotely. Lose the iPhone, log onto to me.com and have I play a sound, even if in silent mode. If you can’t find it, display message and maybe a passerby will help get it back to you. Worst case, wipe all the data and if you find it latter just restore it from the backup in iTunes.
MobileMe, formerly .Mac, is Apple’s online service that includes a suite of services normally associated with servers. It costs $99 per year and, I think, well worth the price because, among other things, it keeps contacts, calendars, and email, synced between computers and the iPhone. Enter a contact or appointment on the iPhone and it shows up on the Mac. One of my clients, who is running Macs in the office, has his secretary enter events in the office to have them appear on his iPhone; a handy feature for a guy always in court. MobileMe opens up other opportunities for convenience and security that I discuss in the step 1 of the Paperless Express and others that I’ll give it a comprehensive 
treatment in Step 5 of that series.
I think the new data wipe and phone location features are a good addition and lend a good bit of piece of mind as more data can fit in increasingly small areas. These features are located in the settings area of MobileMe account, which requires that you enter your password again after the initial log in. Turing on the data wipe and find my iPhone is just a matter of flipping the switch located in Settings- Mail, Contacts, and Calendars- [select your MobileMe Account] flip the switch. Also be sure to make data Push on the “Fetch New Data” box, you’ll run across along the way, it’s just below the list of email accounts.
Also, don’t forget to turn your pass code lock and set it to auto lock in shortest amount of time you can handle. I find that have the phone lock itself immediately is a bit annoying but more secure; I use three minutes. Passcode lock is located in Settings – General – Passcode lock.