On OS X or Linux I'd hack together a bashscript that uses cron to periodically (every 10 mins or so) broadcasts where it's located and then upload that information to a logfile on my Raspberry Pi. Sort of like what Prey does, just on my own.
I'm pretty sure something like that is possible on Windows as well, altough you may need some kind of server to store the information so you can avoid receiving a mail or something with the information.