Find My iPhone lets you lock, erase, or brick an iPhone remotely. You can also see where it is, and...um...talk the guy into returning it.
Can also make it beep loudly, great for when the kids have hidden it.
What needs to happen is Apple release an update with a feature requiring a passcode in order to shut an iOS device down. This way, the device could be located until either the battery dies, or the device is destroyed. Why won't Apple do this? Surely it has come to their attention previously.