Does this exist...
 

...an emergency saddle? Something compact, lightweight, and maybe foldable (although not necessarily comfortable) that you can easily carry with you in case someone jacks your saddle.

No, but I think you may have hit on a device to patent if
you come up with one.

Jack your own saddle. Seatpost and all.

Then no one else can.

Or just lock it to the frame through the rails.

someone watched King of Queens last night....

http://www.urbanbiketech.com/images/set2close.jpg


No worries here.

If you are concerned about someone taking a hex wrench to your saddle and yanking it off the seatpost, then you can buy a seat leash or thin cable that you can wrap around the seat rails and the frame, then lock to your main lock. One set I saw actually used a pop-rivet like device permanently locking into place (well, until you got out the wire clippers that is.)