Unlike cars, bikes are difficult to track if they are stolen. If you don't mind putting in the work, Instructables user stbennet shows you how to build your own tracking system with an Arduino.
The system here costs about $US225, so it's really only worth it if you have a nicer bike. That said, it's pretty easy to build using an Arduino, a GSM shield, a GPS system and a handful of other components. The whole system is strapped and locked to the bottom of the saddle. Of course, if the thief has any brains, they could remove it pretty easily to disable the tracking, but chances are it will take a little while before they figure that out, because it looks like a boring toolkit. And make sure your bike is locked up properly. Head over to Instructables for the full guide.
DIY GPS Tracked Bike Lock [Instructables]