Of all the gadgets to get lost or stolen, your iPhone is probably the worst. Not only was it expensive, but it likely has lots personal information on it. So now, you're out that money and at risk.
Thankfully, you can track your device online with Find My iPhone. You can remotely make the phone play sounds if you think it is nearby. If your view is less optimistic, you can find your phone using its GPS coordinates.
If your device is running iOS 6, the app will include Lost Mode, which locks your phone and displays a number to contact on the lock screen. Lost Mode will also keep track of your phone's location history. Now you'll know exactly where you lost it or track the thief who took it.
Additionally, the app lets you wipe your device remotely. It might be too late to recover the gadget, but at least you can delete your sensitive data.
This app isn't just limited to phones; you can also put it on the iPad and iPod touch. Just be sure this app is enabled in the iCloud settings, or else it won't work.