One of the better recommendations that I've heard over the years (and one that seems to make sense in my albeit limtied experience) is that it pays to put the most emphasis on "passive" protection - doors, windows, fences etc., basically everything that creates a physical barrier.

Alarms and detection systems have their place but they are not necessarily an effective deterrent. Also, they can be bypassed in many ways. But a thick solid wall is a real obstacle. A heavy door with a good lock can't be breached so easily. Windows may be especially vulnerable (should have some reliable means of keeping them closed, a lock if possible). Investing in solid shutters might not be a bad idea either.

Living in the age of plaster walls and cheapo construction methods has certain drawbacks. If you look at some of the older farmhouses they were a lot better - thick brick walls, heavy doors, relatively small windows with iron bars etc.

Modern apartments are especially vulnerable. Just the other day I helped a friend of mine install a new "burglar proof" door. We removed the old door complete with the frame in a matter of minutes with some power tools - the wall was so soft I think it could even be done with a big screwdriver if you had enough time.