The alarm is definately worth it.. someone smashed my window and the alarm went off, stopped them getting any further. Mine is remote and tied into the immobiliser and central locking. I think its important to have a visible flashing LED.
To really reduce the chance of theft as everyone is saying put on a steering lock as a visual deterant, and take something out (rotor button, ECU, ignition module, fuse etc) that will stop it starting / running.
I had an EF falcon, and I almost never locked it (central locking was faulty). I always left change in the cup holder (visible from outside). in 2 years, the change never got taken. Really suprised me...
Andrew