An alarm isn't going to help, unless you have stupid thieves. Have you ever heard an alarm going off and ran in it's direction to see why? If you do get one, don't mount the stupid little blinking light for when it's armed. All that does is tell the thief that he needs to get in quick, pop the hood and disable the battery so anyone that hears it will think it was just some idiot that forgot to disarm the alarm before they got in their car.
The best way to deter thieves is, for one, try not to make your car "stand out" in a group of cars. I know, I know, for most of us on this board, that's hard to do. Second, keep your interior clean and for the most part empty, hiding valuables at the same time. For the more paranoid, hide any type of stereo equipment, if your shit looks stock, it's not as appealing as someone who has, say, Sony Xplode bright red speakers in every hole possible. Get a detachable faceplate, and if you're really paranoid, make some kind of blank-out plate to cover your head unit when you're not in the car, that makes it look like you don't have a stereo at all.

Sorry, this is common sense, I'm rambling, I need to go to bed.