Watch any of the Repo videos on YouTube. The quickest way in is to jam a wooden wedge into the top right corner of the driver's door and then use a stiff wire/stick to trip the unlock button/handle. Most cars have a way to easily bypass the transmission lock (or it can be done from underneath). I am not sure why, but some cars no longer have steering wheel locks.
In EU, you can not purchase car insurance on a high end vehicle unless it has an ACTIVE anti-theft system. Typically they include shake/tip sensors, audio sensors (to listen for broken glass) and ultrasonic (interior) movement dectors. They also have a separate battery that can run the flashers, honk the horn or siren and disable the PCM. The component cost to of such a system is <$100. Installing something like this aftermarket could be much more. Not popular in the US.