there is an open source software called prey on all platforms try prey.com
If you have a Mac, there is a nifty tool called Hidden that can help you locate your laptop and even see the thief.
Look at the story below a lost and recovered laptop and the saga around it.
http://thisguyhasmymacbook.tumblr.com/
There is also LoJack for Windows laptops. Not sure about it's effectiveness though.
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