Beyond physically securing your home with high quality window and door locks and maybe a perimeter security system, perhaps the most effective system for deterring break-ins is also the least costly. It simply gets your neighborhood involved in a program to watch out for criminal activity.
Most home break-ins occur when no one is around, so whenever I'm going to be gone for more than a day or two, I alert my neighbors to this fact. I simply give them a call, email them, or knock on their doors and mention that I'll be out of town and give them the dates. I ask them if they'll keep a lookout on the house. Of course, you need to trust your neighbors to do this!
Most neighbors are very sensitive to security. They want their neighborhood to be as safe as possible. They almost form a kind of clan or pack mentality and will go out of their way to protect your property while you're gone. In my case they will take in newspapers and flyers that get left so that my house doesn't look abandoned. If a box should be delivered and left at the front door, they'll hold it for me. They'll even take in mail that gets stuffed into my mailbox.
Your neighbors might not be as conscientious. Or they might be even more so. However, having neighbors watch out for your home while you're away (or even when you're there) to my way of thinking is probably the best security you can find.
All of which is why I suggest that if your neighborhood hasn't done so, you should help organize a neighborhood watch program. This is easily done by contacting your local police department. A specific person will usually be designated for each block (usually the neighborhood busybody is best), and everyone will have information passed out to them on what to watch out for and the correct numbers to call in case of emergencies. Plus, neighborhood watch signs will be posted, alerting criminals to the fact that your neighborhood is on alert. Statistics suggest that this program does help prevent neighborhood crime.
In our neighborhood we use both the informal "I will be away approach" and we have a very active organized neighborhood watch program. There isn't much that happens around here that doesn't get reported.
Managing or participating in a neighborhood watch program is easier now than ever before. We have email, Google groups and mail-list services. If there is something going on in the neighborhood about 70% of the homes will know about it in a few hours. For really critical stuff we can and sometimes do use the calling tree method to inform everyone who is home or has an answering service.
I find it amazing that something our grand-parents took for granted, watching out for our neighbor, is also one of the more effective crime deterrents in our modern arsenal.
