one of the best anti-theft / alarm devices i ever saw was made by a friends dad.
it was a small box containing a 12 volt car battery, a pair of stupidly bright spot lamps, one with a strobe relay on it, the other constant & the biggest, loudest electric car / wagon / train horn the world had ever seen, all wired up to a PIR sensor.
they had it in the tack room on the end of the stable block and he found his intruder clutching his ears and pretty much blinded to the point he ran the wrong way back out of the door and into the back end of the horsebox!
a few stitches later he was taken to the local nick & charged because his prints were linked to loads of horse tack, diesel & farm equipment related thefts - the police told him to remove the 'alarm' just in case he decided to try and sue him for personal injury.
he subsequently made about another 6 for his mates after they expressed an interest in one!
re: home security, & thieves coming back, if you put a note up on their point of entry saying something along the lines of 'all valubles were removed after your last attempt & please smile. your now on cctv' it may encourage them to scuttle off and try elsewhere.