The very first thing you need to do is contact your local police department and file a report. Then if you have access to another console and a USB flash drive you should recover your profile to that console and move it to the
flash drive for safe keeping until you get your console back (if you ever do). That way the thief can not use your account, especially if you have any credit/debit cards attached to it.
If at any time you notice any suspiscious activity on your account before you recover it you should contact support in your region and have them do an Unauthorized Access Investigation.
Everything attached to your profile, except the game saves, can be fully recovered from the XBL servers.
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