http://ipod.about.com/od/iphonetroubleshooting/tp/What-To-Do-When-Iphone-Is-Stolen.htm

When you discover that your iPhone has been stolen, dozens of thoughts race through your head all at once. Anger, worry, surprise are all likely to pop up. Once they pass, though, there are some steps you should take. While there's no guarantee that these steps will get your iPhone back, they won't hurt and will succeed in some cases. Good luck.

1. File a Police Report

File a report with the police in the city where the phone was stolen. This may or may not directly lead to the recovery of your phone, but having documentation of the theft may help in dealing with cell phone and insurance companies and, if you can get data about the location of your phone, having the police report on file may be necessary for getting the police to help you recover it.