I have SSH, VNC, Apple Remote Desktop, FTP, personal filesharing and all of that good stuff enabled. I have a script that checks my IP address every 30 minutes and updates an RSS feed that only I have access to.
If someone were to steal my computer, I would know their IP address, city, ISP and what they look like (if they take the laptop or iMac), etc. I would be able to control my computer remotely and backup and data that I may have forgotten to back up.
If they don't get on the internet, they WTF would they steal a computer for?
But yeah, those programs like LoJack and Undercover are a really great tool for recovering stolen laptops. Most of the time, if you're in college, it's another student on campus who stole it. Look at his picture, find him. It's that simple.
Then once you find him you beat the living piss out of him and take your stuff back.