Best app, hands down, in my opinion would have to be Cerberus (
https://www.cerberusapp.com/). It' has tons of features, can display your phone's location on an online map or report coords by text message (as well as control the rest of the app). If you're tech savvy and are rooted (or have your phone's bootloader unlocked), you can make the app "sticky", meaning it'll still be on your phone after a would-be thief does a factory reset. It also does neat tricks like email you alerts when your SIM is swapped.