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.