The only secure way to protect a laptop is to run the bitlocker service in Win-7, which keeps the drive encrypted without your psd. Most all other "higher" levels of security can be broken by simply taking the hard drive out of the laptop, or given enough time to crack a password.
Look at all the govt accounts and bank information that has been lifted by just removing an employee's laptop from their car!
The TMP chip built into some laptops is a good start but, you'd think a simple GPS system, like in many cars, and iPhones, could be built in to track em down. I agree with Pyree, a police report is a good baseline, should credit items or ID theft become an issue.