The first thing to do is go to System Preferences » Security & Privacy and enter your name and phone number in the "Show a message when the screen is locked" field. That will give someone who finds your computer a chance to return it to you.
To address the specific issue that you raised about Applications:
You can install the Applications to ~/Applications (that is, create an "Applications" folder inside your home folder) and install apps there instead.
Note that the Mac App Store will automatically install apps to /Applications but you can easily relocate them. You could even automate the process using Hazel or something like it.
launchd is your friend. You can create scripts or programs which will run whenever anyone is logged into your computer, or you can do the same for when specific users log in. For example, create a new Gmail account and create a script which will send the IP address of your computer every 15 minutes:
curl -s http://whatismyip.org | Mail -s "$HOST address as ofdate
(Note: you will have to setup your Mac to send email from the command line. I wrote a HOWTO for that.)
DynDNS is another good idea. That will give you a hostname to use with
ssh. (Be sure that "Remote Login" is enabled via System Preferences » Sharing.) Make sure that it works (i.e. daemon runs/updates) while you are logged into your 'dummy' account.
I set a Firmware Password on my Mac so they can't boot from another drive (i.e. trying to wipe it) without entering a password.
I use FileVault 2 (Lion) to encrypt my drive. They only get access to Safari. See Can FileVault 2 and Find My Mac foil thieves? for more details (I didn't write that, I just recommend it).
In sum: I do as much as I can to protect my data, and I do as much as I can to give someone the opportunity to return it if I lose it and they find it (vs being stolen).
I have thought about (but have not actually checked to see if it can be done) going to a jeweler and asking to see if they can inscribe my name / phone number on the bottom of my MacBook Air.
Those are my thoughts, FWIW.