The obvious really, make sure the only thing about your system that is visible is the HU and make sure that it hasn't got the faceplate still on.
Me, my gf and my mate were all parked up on a car park whilst stopping round a friends once, all of us have ICE of some kind (although not very flashy or expensive) you know like Head units, subs, amps, uprated speakers, the usual.
My mate had 6x9's in his parcel shelf, needless to say his car was broken into via window, everything stripped out.
My girlfriend left her faceplate in her HU, she was broken into via drivers window, she had her HU taken but all the wires had been cut instead of unplugged so that was a hefty bill. For some reason they never checked her boot, maybe they couldn't find the release (new shape micra) so her sub and amp just needed rewiring into a new hu, once she got her wiring loom and window sorted.
My car, a 1.1 55s at the time (notoriuos for being broken into by whacking a screwdriver through the lock), had a mutant MT2004 amp, ported 12" sub, aftermarket HU "WITHOUT THE FACEPLATE TAKEN OUT" and uprated back speakers that were fitted in place of the origionals so they were hidden.
I also had a Sparkrite SRA1 alarm, cost £20, comes with a motion sensor, shock sensor, door opening sensor (checks current for interior and boot light), an LED that was mounted on the dash and
stickers to warn thieves that the car was alarmed.
Needless to say, my car wasn't touched.
I don't see the point in spending hundreds of pounds on alarms, If a theif knows you have an alarm and they break into your car regardless what difference does the alarm make? Unless its one of those ear drum shattering ones or a tracker or something (which lets be honest is OTT for a little fiat hatchback) then why spend so much?
The best defense for car theives is common sense, leave nothing on show, leave no clues like
stickers, deter them by making them see you have an alarm and don't park in some dingy backstreet and leave it for the night. Also park under cctv if possible, then atleast there is some hope (if not much) of justice if the worst should happen.