I had a laptop stolen couple years ago, so since then I backup my most important stuff at dropbox, also have passwords on all laptops (these are probably easy to break though, the default windows logon password system) and just generally making sure I don't leave it out of site for long.
Not sure how useful that app would actually be, say you know where your laptop is - but do you really want to get involved with some local criminals to try to get it back? Besides usually they just format everything.
I'm much more concerned about the sensitive data and the loss of important info than the actual laptop cost, so I was also considering using one of these drive encryption programs - anyone uses them?