You've got the Find My Phone feature from Microsoft that will locate, lock and erase your Windows Phone remotely. AT&T also has some phone tracking/security features as well through their Family Map service.
As far as apps are concerned, I have to do a little digging. There used to be a few that would let you activate the camera through SMS commands but that was during the Windows Mobile days. Not sure which ones carried over to Windows Phones. There is Security Toolkit but that turns your Windows Phone more into a security system. It's a neat app but not sure how it would do as an anti-theft app.
I do not believe there is anything out on any platform that could be considered an actual "anti-theft" app. The person stealing your phone isn't going to know, or probably care about any existing software on the device. There just going to take it to one of those machines that gives cash on the spot and use a fake ID to get past there security to get instant cash.
Best "anti-theft" measure you can have is to simply keep the device on your person.
Mobile Superhero might come close. Looks like it's a web interface with the ability to capture photos remotely as well as retrieving the location of the phone. It doesn't appear to have the capability to lock or wipe your Windows Phone though.
Impala7 is also available but won't let you take a photo. Impala7 does have the remote wipe, lock and alarm features.