Here's how to safe guard your data and have a better chance of getting your computer back.
1. Encrypt your sensitive data in a TrueCrypt container, not the entire drive.
2. Password protect your account, but keep a guest account active with no password.
3. Use a service like Prey or just use a free for home use remote desktop service like Teamviewer or LogMeIn.
You do NOT want to lock the thief out of your computer completely. This significantly reduces the likeliness of getting your computer back because if he can't get in, he's more likely to sell it off or reinstall everything to make the computer useful to him. By only encrypting your sensitive data you allow the thief to use your computer without risking your data. So long as they're using it you can track it over the internet using one of the above services and possibly get a picture of your thief using the webcam.