Locating and/or disabling stolen cell phones is sometimes possible; if you've taken precautions. While some phones offer services that allow a remote wipe of information and so forth, many do not. However, some thir party software is available that can help in protecting a cell phone's information and to locate or disable the phone if taken. Phone Guardian reportedly prevents data from being retrieved and provides the information necessary to find the thief and retrieve the phone. However, it is designed for Symbian phones.
Another option is AccuTracking which describes itself as a low cost GPS Tracking Service. A consumer would need to download the software onto their phone prior to it's loss obviously. SunSat Satellite and World Tracker offer other options.
iPhone users can now pay for the MobileMe service. For $100/year, the service allows them to go to the me.com website when their iPhone is missing to find it. The site allows them to see it's approximate location on a map, have it beep if it's nearby, send a text message to it, lock it, or erase information. Motorola now offers MotoBlur on some of their phones like the Cliq, Backflip, and Devour. It allows users to both locate their phone on a map and do a remote wipe of the data to keep it out of the hands of others.
Another possibility is GadgetTrak which can be used with many mobile devices including smart phones and laptops.