One of the best ways to keep you car from theives is to not advertise. The worst thing I see is guys with swaps putting on those "DOHC" stickers from the SI. It's almost like saying, "Look I got a B-series in here!!!". Here are some of my tips.
Keep the outside as stock looking as possible.
This helps with the police too, officers look for flashy body kits, and big wheels. They'll make a excuse to just pull you over.
Keep the inside clean.
Don't keep school bags or books in plain sight. Also goes for your cd collection. You'll be surprised at the amount of stolen books that are sold every year. Also many music shops pay cash for cd's, quick money for a thief. If you got some $3,000 ITR seats in your hatch that's not looking stock.
Park in a well lighted area.
If possible try to park near bright areas or areas of high traffic. Personally I try to not park aganist a wall or near large car like a SUV. Just gives theives more cover.
Invest in a alarm, install it yourself if possible.
Many alarm installers will install the alarm under the dash. It's very easy for someone to gain access quickly to the alarm. Consider installing it somewhere else or having a shop specializing in alarm installs to do it.
IMHO DO NOT TAKE IT TO THE COMMERIAL SHOPS! Circuit City, Best Buy etc.
Also remember the rule of owning a nice car.
If it's expensive or can't afford to replace it shouldn't be in your car!
Note, the comment about selling the car has some truth to it. If your in a high crime area, the old way to stop thieves is to have a car that is not wanted. For most of us that's not a choice. Thanks to all of the stolen Honda's in my area by insurance is the same price as if I has a Camaro V8!
Hope this helps,
rob