I was never aware of any insurance for my original iphone..atleast not through at&t..the 3G might be different. There are some companies where they send you some type of label you put on the back of the phone and if someone finds it, they give them a reward and ship it back to you etc etc..all for a fee ofcourse...
There is also some wallpapers you can make so if you do lose your iphone..all your contact info is right on front for the finder to contact you. (although it's not very likely)
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