To the OP, man I am sorry that happened to you. I have only had the misfortune of having one of my cars broken into and it really bummed me out because they stole my CD case and I was a DJ at the time. What really pissed me off the most was that they broke my window and the car wasn't even locked.
Now I will offer up a couple of suggestions. First of all, try to get some security screws or some odd screws/bolts to mount your equipment down with. The downside to this is that a thief may ruin your equipment trying to take it. My philosophy is if I can't have it they won't even have the satisfaction of taking it!
Next, when you get that alarm, make sure the install is good. Most of the installers here in Lafayette zip tie the brain behind the steering column under the dash and the alarm can be defeated in mere seconds. Speaking of alarms, check into a battery backup (DEI 520T) and a couple of internal sirens (DEI 513T) along with some better sensors (DEI 509U & DEI 507M).