How Do You Keep Your Phone Secure?

I have had the toughest luck the last month or so. On Dec 12th I got mugged outside of school for my Samsung Exhibit. I had insurance and replaced it. I then spent the rest of the month getting my fam ready to move back to their home country. While I was staying there last week, my peers and I were held up by gun point and again lost my phone (and other valuables). Fortunately upon my return to the states I was actually eligible for an upgrade , and I got a S3. However I am kinda paranoid right now having it on me thinking I might get mugged again. What I really want to know is what type of software do you keep on your android phone in cases of theft to track the device etc? Do you have any success stories with the apps?