Find my iPhone / iPad / Mac
One of Apple's best features, this is turned ON by default and is tied to your Apple ID, so it's already set up for you! Don't believe me? The setting for it is:
Settings – Apple ID (your account at the top of Settings) – iCloud – scroll down to Find My iPhone.
If you lose your iPhone / iPad / Mac, you can immediately open the Find iPhone app (included by default) on another iOS device (yours or a friend's!) or go to icloud.com, enter your Apple ID and password (the same ones you use to purchase apps on your device), click on the Find iPhone app, and it will locate all devices that use your Apple ID.
I've personally used it to recover my phone after it was left behind at work, and you can also use it to Play a Sound (in case it's under the couch), Lock the device and display contact info, or remotely Erase the device to protect your personal info. Erasing does NOT remove your Apple ID from the device, so any thieves will still be barred from logging in to the device, but once erased you will no longer be able to track its location so use it only as a last resort.