Dagny's advice is excellent. I would prioritize as follows:

1) Call the police if you haven't already. Now. Stop reading this and call.

2) If you don't have adequate insurance, make sure to get that fixed immediately.

3) Talk to your neighbors. Make sure that they know who is authorized and who is not, and ask them to call 911 if they see anything suspicious.

4) Make an inventory of your possessions and keep it off-site. Photos and serial numbers are good.

5) Back your computers up (I like Carbonite for this)

6) Only after these things are done would I work on hardening your home against intrusion (dog, alarm, motion sensing lights, lights on timers, cameras, and so on)