Today's Washington Post [free reg. req'd] is full of articles and information about keeping your vehicle from being stolen. Although the series focuses on Prince George's County (Maryland), the same principles apply anywhere, as car theft is a nationwide problem (and an expensive one to boot). Consider joining a Watch Your Car program in your area, if practical. (Enrolling in such a program permits the police to stop your car, if it's seen on the road between the hours of 1 and 5 am [if you're not normally out during those times], when most auto thefts take place.)
Hope this helps keep your ride close to you.