Here's my view on security systems. I do say security systems, because an alarm will just make noise, security if installed correctly can do a great job at deterring.
Make sure that you have a good, trustworthy installer doing the work for you. Get reccommendations from other people, or other installers. If you go in a place, ask who their best installer is, or if they can reccommend a good installer to work on it, and ask to speak to the installer who will actually be performing the work. Make sure they are going to be soldering all the connections and that the brain will be hidden, and that all the wiring will be stealth, ie look integrated into the factory wiring, no bright colors standing out. Make sure that the shock sensor isn't set too high, as false triggers can really be annoying. Let the other sensors, and triggers do most of the protecting.
Add ons to look for would be a couple of extra sirens, especially the Piezo "pain generator" sirens for the interior of the car. I've got three sirens under the hood of my wifes car, and two in my car and they are bouth really loud. You'll want to make sure they put a hood pin, and a trunk pin hook up to go off if either of those are opened. I'd look towards a back up battery to keep it going off if they disconnect, or cut the battery cables, and maybe a glassbreak sensor to be triggered if they shatter the window.