I use laptop for work (financial services) and I've got a lot of sensitive/personal information on it for my clients, is there a software that I can install so in case laptop is ever stolen/lost entering wrong password would automatically format/erase hard drive and all information on it?

Not sure about software but my uncle uses this, he is paranoid of losing his clients info.

Laptop theft prevention, Laptop recovery, Asset Management

To my mind prevention is better than a cure.
So make sure you instigate some serious sercuirty with this data.
As an absolute minimum use a BIOS (power on) password as well as a complex winows password.
Windows also offers inbuilt encryption, but to really make sure the data is secure something like PGP whole drive encryption. Details here: File Encryption Software, Secure FTP Server Applications and More - PGP File Encryption Products

This can be used to encrypt your entire drive and cannot be accessed without the correct, complex password.

They do a home desktop version that can be used on specific files and folders, again password enabled access.

So rather than "frying" the drive consider locking the information away securely.
A little paranoia can do wonders.

Hey... I like I will send this info to my uncle.