Definitely get a decent alarm, it will help... and make sure you do something to let them know you have an alarm, like have a red led somewhere in your car. You can also get insurance on your audio equipment, although the process may be kind of long, its worth it. For the head unit, you can check where it goes in and see if there is a metal bracket attached to your dash or firewall somewhere to see if you can attach your head unit to it. There will usually be a place on your hu where you can bolt a metal bar to it, then you can attach the metal bar to the piece on your car. Of course you would have to use bolts that need a special tool to undo. And lastly, just use common sense. Don't be showing off your car to people you don't know, and don't go riding around in a parking lot blasting your music. Also, if you have any stickers on your car, take them off. Oh, and for this situation, definitely try and contact your insurance company. If you have a good insurance policy they should be able to help you out some... its better than nothing.

Sorry to hear about the loss man