There is an old post in this section of the forum that's worth a read!!
Long story short, there are a few different brands out there that aren't too bad, do the job, and have all of the bells and whistles with them, like viper, mongoose, etc.
Unless your car is a transformer, and can defend itself from the scum out there, an alarm will only do so much.. At the end of the day, it all comes down to how much attention you bring to yourself and your car.. Don't park it on the street, and if you do, try park somewhere close by and/or where there are cameras/people watching.. Don't rev the hell out of your car, or crank your stereo in the area you are about to park in.. Be smart about it..