I've used Lookout and Mobile Defense. Personally I like Mobile Defense better. When I got a new SIM card, Mobile Defense sent me an email with the new SIM card number, and another email informing me of the phone number on the new SIM card (which was my same number).
I could see this coming in handy if my phone were stolen and someone tried to put their own SIM card in it.
Lookout might have this same feature, I'm not sure since it wasn't installed when I changed the SIM card, but the feature did impress me on Mobile Defense.