This hint is likely to get turned into a service and a series of application: How to delete your files when your laptop gets stolen - Download Squad.
You need controlled acess to a server (example, Google web page authoring environment). If your laptop is stolen you create a file. Next time the laptop starts up in a connected mode a script finds the file and deletes whatever you want.
Of course things could go wrong, so backups are indicated. This would be a good complement to an encrypted folder. (XP supports encrypted folders, but I've found their implementation to be treacherous. I prefer OS X encrypted images.)
PS. Google uses a similar technique to validate ownership of a web site.