A little dodge which does not seem to be widely known:
If you dial *#06# on a GSM phone it will display its internal serial number (known as the IMEI number), which you can note down and keep in a safe place.
Two reasons for doing this:
1. It might improve your chances of getting a lost or stolen phone returned
2. Even if you don't get it back, by reporting the serial number to your network operator it can be permanently blocked (from all networks) so that at least you have the satisfaction of knowing that the miserable so-and-so who stole it will not be able to use it, even with a change of SIM card.