As much as I dislike the idea of needing antivirus and antispyware software for my phone, better safe than sorry. And if I'm going to run such an app, it might as well kill multiple security birds with one stone.
ESET Mobile Security for Android offers malware protection, an antitheft system, call blocking, SMS blacklisting, and more. It's currently in beta, and currently free.
When you first install it, ESET Mobile Security identifies any immediate threats, which on my new Nexus S 4G included disabled SIM matching, an undefined "trusted" SIM, and an undefined password (for the app itself; it's there to prevent unauthorized attempts to uninstall it).
From there it's not immediately clear what you're supposed to do, if anything, but each of EMS' primary modules--Antivirus, Antispam, Anti-Theft, and Security Audit--comes with extensive built-in help.
For example, the app's Anti-Theft feature is explained: "If you lose your phone or someone steals it and replaces your SIM card with a new (untrusted) one, the phone will be locked automatically by ESET Mobile Security. An Alert SMS will be secretly sent to certain user-defined phone number(s)."
ESET's product page also makes reference to remote locking/wiping and GPS tracking, but I couldn't find any reference to these features within the app or its help screens. If there's a way to actually track your phone or control it remotely, I haven't found it.
As for Antispam, that's a bit of a misnomer, as it has nothing to do with e-mail. Rather, it lets you configure blacklist/whitelist rules for calls (both incoming and outgoing) and text messages. All you do is enter a phone number and then choose what to block or allow.
Ultimately, it's hard to know how well an app like EMS is working, as actual security threats are so few and far between (for now). But if you have concerns about viruses and the like, or you just want a simple way to block calls and text messages, ESET Mobile Security is worth a look.
Have you found a security tool you like better? Talk it up in the comments!