Lookout is a larger app with other features ie. antivirus. If I recall, you need a computer to try and locate your phone. I had a very bad (probably atypical) experience with Lookout. When I went to test the phone locator function, their server started pinging me with SMS text messages, about 40 in an hour, even after I uninstalled. I had to contact Lookout to stop it.
Wheres My Droid works. It is simple and only requires another phone to send one text to the lost phone. Some people prefer using a computer, but if you were looking for your phone away from home or office or in the middle of nowhere, I think getting hold of another phone to text yourself is easier. It will enable the GPS even if you had turned it on and will send back 4 texts to the other phone to let you know 1. message received 2. network course location 3. gps location and 4. possibly the street address.
I had used AVG which also requires a computer to locate phone. AVG did not work for me in 2.1 but did work under 2.3.3.
I am currently testing/running Zoner which is similar to Wheres My Droid but it also has some added features like antivirus. It is not too bad on memory or battery (compared to AVG). One good (or bad) feature is that when the locator text is sent to the phone, it will not show up on the phone. This means that thief will not know that you are trying to locate your phone. But if anybody knows your locator text message, they could track you without you ever knowing (eg wife?).