If your laptop has an internal PCI or even a spare PCMIA slot, I would go with a nice little 3G modem, preferably one that can do estimated-GPS.
The extra hardware means you can not only practically guarantee a connection for lockdown and evidence collection, but you can get a location.
Then on boot (via a little upstart script) have it dial out to a server of yours looking for a stolen file. If the remote file says it's stolen the script would then get its GPS, take pictures with the webcam and upload all that to my server. And then it would lock down my personal files. And then perhaps start a double-tunnelled SSH session to my desktop so I could interactively manage it.
The cool thing is, I dont think this would be that expensive or hard to manage. After the hardware, you'd just need to keep a pay-as-you-go SIM card alive with a little credit or a very cheap data-only contract.