Android Device Manager, the basic

Price: Free (probably already installed in your device)

This is like Windows Firewall -- better than nothing. Has some pretty basic features but all of them require your missing device to be connected to wifi. Good luck with that.

Features:

• Ring (requires wifi)
• Lock (requires wifi)
• Erase (requires wifi)
• Locate (requires wifi & GPS)

Prey, the best for free

Price: Free, with Premium services available

I started using Prey to protect my laptop since Prey was created. Several years have passed, their web interface was redesigned (finally!), and today their open-source project is a robust and comprehensive solution. Did you know that their software protects every device on every operating system? And all that for free?!

Features:

• Make a sound (ring, alarm, modem, siren)
• Show message on device
• Lock device
• Hide app from the app drawer (make sure this is always on)

Advantages:

• Satisfactory functionality for free!
• Cool, modern and easy web UI
• Report a device as missing and get a new report every 5 minutes -- with neighbourhood wifis, public IP, geo location, front + back photo
• It guesses geo location from wifi, so it doesn't require the device to have its location services activated
• As soon as the device becomes online, all pending actions are executed automatically (amazing!)

Disadvantages:

• Can't remotely wipe device
• Every command requires wifi, so if your thief never turns on the device's internet connection the app is useless powerless

Cerberus, the best value for price

Price: Free trial (7 days), 4.99€ lifetime license

Features:

• All the previous and much more (see screenshot below). Doesn't include punching the thief in the face, however you can see his/her face, voice, and location, so you can deliver it yourself ;)

Advantages:

• You can send commands via SMS, from any another phone to your missing smartphone's number. This way you can act immediately after your devices is stolen, independently of the thief's collaboration to turn on wifi. Moreover, you can install a "client cerberus" on another smartphone to conveniently send these SMS commands without a cheatsheet.
• Excellent android app -- material design, easy to use, gives you control over a multitude of useful features (ex. take screenshot after X times of failed screen unlocks).

Disadvantages:

• Requires GPS to get device location, while Prey does it over wifi which is more likely to be turned on.
• Outdated and "ugly" web user interface, however it does everything you need.

Keep in mind that

• Although you can send commands via SMS to your missing device, you may need a wifi connection to receive the result of some of those commands. Ex: if you want to lock your device, you can send the SMS command and it's done. If you want to take a "thiefie", the app will take the shot instantly, but will require wifi to send the photo to you via email.
• Don't send Cerberus notifications to the same email you have configured on the smartphone's email app. Otherwise when your Cerberus app takes a "stealth" photo, the thief will receive a notification of a new mail called "Cerberus just took a photo of your thief". Not good.

And the winner is...

Cerberus. In my opinion, sending commands via SMS is a must, otherwise you always need the thief's collaboration to turn on the internet connection and let the app receive commands. It's just 4,99€ and you get the app for life! Keep in mind that the majority of paid anti-thief apps charge a monthly fee of that value! If you can't afford to buy Cerberus -- you should, afterall you bought a smartphone -- then go for Prey. Just don't bet your smartphone on the default Android Device Manager.

Did you lost your smartphone? How did you recover it? Share your experience in the comments.