When I was in LA last, the rental car company told me to always leave the doors unlocked when the vehicle was parked, and only lock them when on the road, for exactly this reason. This is where I learned to leave a cheap item or two for thieves to grab so they don't trash a vehicle out of spite.
I've been a fan of Consolevaults, because they add decent security where it counts, and it will give a good fight to the long screwdrivers and crowbars. I do wish they would stop using barrel keys since a lot of those can be opened with a Bic pen.