Some times I think the James Bond system of exploding the car and the thief is the way to go, but I bet the insurance agents wouldn't agree! For awhile they had a mat on the passenger's seat that was a TASER set up, so that when the thief slid in on the passenger side they were tasered with and alarm system going off at the same time. But I guess it was to good, because it too is now illegal I believe!
For now all the systems mentioned above seem to be the best we can do, but Don's advice towards a good insurance policy is probably the best. Insurance companies don't like paying out unless they have to so it's worth their time to try and recover expensive vehicles too.