Come across this software from the company Turebulence Software.
They've released the Zecop program, which essentially is a piece of software that will send a piece of information containing the IP and a serial number set by the user to the user's email as soon as the software detects that IP had been changed. While this is a pretty easy concept that can be hacked, it isn't common, which means you might got a chance that the theft on the computer while connecting to the net and the program calls back and eventually you get back your laptop!
But I'm sure for expert users, this isn't something promising, but that might be helpful at time though. If you really care about your computer assets physical security, better off get a physical Kensington lock.
Well, a quick google on laptop lock brings me to this software as well, the LaptopLock. The software even bring the security tighter by asking the user to confirm their presence if it didn't detect internet connection for sometime! Well, its website says "It's free for now. It comes with no adware or spyware.", that might probably translate to "We'll charge for it one fine day.".
I've got the Zecop installed, so if you steal my laptop, you know that to do if you don't want me to track you down.