There used to be a car alarm called the Dragon (not sure if the company is still around anymore. Google turns up nada). When it went off (and it would only go off if glass was broken, or a door was opened), it would fill the cab of the truck with fog (basically a heavy duty fog machine.) For an audible warning, it used a tape of someone shouting "FIRE". The good thing is that it gets attention... the bad thing is that is causes the local fire department to come.
What I can't stand are these stupid car alarms that have 4-5 sounds, and because they are poorly installed, they are almost always going off. Just as important as the alarm itself is the installation, and decent car alarms (Clifford, Alpine) rarely, if ever give false alarms.
The most dangerous car "alarm" I've seen was someone who wired a solenoid, and hid a sawed off 12 gauge in the steering column. If someone attempted to drive the car without flipping the "kill" switch... there would be quite a mess.
As for physical locks, I've seen people here go to extremes as installing a special steering wheel which they take with them (and a 1/2" metal plate that locks on the column when the steering wheel is not present.) Personally, a Club and that is a deterrent, but most people breaking into a vehicle are there to find something to grab and run off with.