Orange offers "screaming" phones.

"Using software from Synchronica, when stolen it emits a loud wail not unlike a person screaming... If you lose your phone, you call the help desk, they issue the remote wipe-and-lock, and the cell phone emits a loud, annoying sound. And if that doesn't work, it also includes a 'remote wipe-and-lock feature', to delete potentially sensitive data over the air."