If your laptop or other device does get stolen or lost, tracking services and recovery software products, as well as features such as remote wipe for BlackBerrys and other smartphones, can help you get it back--but you have to set up the software/service first (i.e., before your device disappears).
Being mobile has so many benefits. Adequately preparing for the additional risks that portability presents can help give you peace of mind while you enjoy that freedom.