I have a few anti-theft systems on my vehicles. I don't like car alarms. They are absolutely worthless except the type that dumps fog into the interior and flashes strobes. Here is what I do:
1: I like having a switch inline to the fuel pump. Be careful, as newer vehicles can have a CANBus, and cutting that can be a disaster. Funny thing, most thieves don't think about fuel pump switches. I've wound up recovering a vehicle in the middle of an intersection when a joyrider got in, fired up the vehicle, got it going... only to have it stall out in traffic. Having someone bail out of a car gets people to take pictures of the offender really fast.
2: I use a Club Basic. The lock mechanism is dead simple, but who cares. Yes, I've picked it with two paper clips almost as fast as inserting the key. However, having this in place (which I don't even bother locking) tells a would-be thief that the vehicle is more secured than the others in the area.
3: Got a Ford? Use a Jimmi Jammer on all doors. I also use the Lock Cap as well. This helps a lot at keeping them out in the first place.
4: Keep good insurance.
5: A gas cap lock doesn't hurt. It might be what causes a thief to ditch a vehicle as opposed to being able to make it to the chop shop or Mexico.