I use a service recommended to me by my credit card company. It is run by a separate company, and costs around 50USD or something like that per year. They let you register the numbers of all your credit card numbers with them, and also other documents such as your passport. I then only have to call their number to report the loss of my credit cards, all at once or only those I have lost. I received small stickers with their phonenumber on which I have placed in strategic locations such as the back of my watch and the back of my belt buckle.

I'm sure a similar service is available in other countries as well, and I think the annual fee is worth it since it is a quick way to cancel all your cards at once without forgetting any of them. I think there is also some kind of insurance included in the deal, so that you will not have to pay for any charges after a theft, but I think many credit card companies offer that as well.