Unfortunately, I had the same thing happen to me over the winter. I had to park the teg outside for a week or so... They took out the driver's side window. They took a the subs/amp - left the head unit (faceplate!).

1) Security system (cheap, but it does the job). The last thing a thief wants is attention.
2) Best thing you can do with the head unit, is a removable faceplate and a good place to put it.
3) If you're not too worried about weight, throw a 1/2" piece of plywood below your back carpet and SCREW your box/amp to the floor. Just remember, your spare's under there - so keep a screwdriver around.

But, like ewood87 stated, these are just deterrents.