How can I find a lost phone or help people return it? I'm looking for an app like Where's My Droid to help locate a lost device.

Ideally I'm hoping there is one that might have two specific features: 


The ability to display a message to the screen to help people return it, like Windows Phone 7 will have, as illustrated here.
The ability to turn the GPS on remotely to aid in the physical location of the phone. I do not want to have to keep GPS on all the time, to avoid the battery drain.


Running on a non-rooted Galaxy S Captivate.
Try Prey for Android.

Some features: 


To trigger it, you send an SMS with specific text (default: GO PREY)
Once triggered, starts recording its location to display on your Prey dashboard
If "missing" you can put text messages on the screen or cause a loud alarm to be played


Here's a recent review: http://www.downloadsquad.com/2010/10/28/prey-for-android-is-an-open-source-anti-theft-service/