Losing your phone can be as bad as if not worse than losing your wallet nowadays. But unlike with your wallet, you may be able to locate your lost phone on a map and lock it remotely so no one else can access your information.
Apple's Find My iPhone app lets you pinpoint a lost phone, make it ring for two minutes (it's most likely buried in your couch somewhere), lock it with a pass code or remotely delete its contents altogether. The Android-compatible Where's My Droid application sports similar features as well.
See also: Seek Droid, Find My Phone