I second the Clifford/Viper alarm. Sound-wise, they tend to be the same, except BMW seems to have a new, more shrill/annoying version out, but it may just get people to encourage the thief.
Installation is half the battle with a car alarm. A well installed car alarm will not go off when someone slams a door in a parking garage, nor if thunder hits nearby.
As a step up, I have used fog machines in the past. They go by different names, Dragon, FlashFog, Pea Soup, smokemachines.net, but what those do is pour out fog and flash strobes when your car is broken into. I've found that this is the only way to get would-be thieves to leave quickly. A car alarm going off is one thing. Smoke billowing out of a car with flashing lights will either make people think they are at a rave, or at least get their attention. Of course, each false alarm costs $10 in fog juice, but I can count the number of times I've had a false alarm on my old truck on the fingers of one hand.
For added protection, you might see about importing auxiliary locks from Fiamma in Europe. Here, they only sell awnings. However, across the pond, they sell "Safe Door Guardian" locks that install on all doors of an RV, providing much better theft resistance without the ugliness of the US-style round hockey puck and hasp.
For future reference, it can't hurt to install cameras on your property. I prefer wired HD cameras over wireless (so the signal doesn't jam other people's Wi-Fi devices), but anything is better than nothing.