There is a free app from the Market called "Contact Owner" that pops up on your homescreen/lockscreen in the event you lose your phone. It also works from the pass-swipe pattern screen if you need a pass-pattern to lock down your phone. I've been using it for over a week and I love it!
If you are worried about it there an app called Lost Android, it allows you track, lock, and disable your phone via a computer. It looks promising but I have had no experience with it as of yet.
If you are downloading via the market, they are more than likely okay. I know there are a lot of apps out their that seem to want access to all of the phones functions. :dry:
WaveSecure (on the market and FREE rigtt now) actually lets you remotely post a message on your phone and overlay it with a lock screen different than the native Android lock screen.