One of the things Matt Gemmel recommends is adding some contact info to your iPhone’s lock screen image. I like this idea, as it makes it simpler to get your phone back if you misplace it.
I just noticed that OSX allows you to add a message to your MacBook’s lock screen too. Just look under System Preferences → Security & Privacy → General, check the Show a message when the screen is locked and click the Set lock message… button. I added a simple message: “If you have found this Mac, please email [my email address]. Thanks!”