I have several friends who have lost their iPhones, or had then stolen from them. MobileMe has a great feature that allows you to find your iPhone from any computer. It shows the approximate location on a map to easily "remember" if you've left it at the office, the gym or at the kid's school.
There is also the capability to send a message to your phone for the finder to read. Type something like "honey I left my phone in your car, I'll get it from you at lunch." Or maybe "Please call me at ### if you find my phone - reward offered!" You can even play a sound on the iPhone to override the silent setting if you've lost it in the laundry and you can't find it by simply phoning it. I can see this feature being very helpful.
As a last resort, with MobileMe you can also erase all the data you've loaded on your iPhone remotely. If you have important messages, email, contacts or photos that are personal in nature, and you've lost your iPhone, you can wipe these with the option to restore with MobileMe if you find your iPhone later.