Motion, door-open and impact sensors are the most common. Install an alarm worth having. A backup battery is important your alarm is useless without one if a thief unhooks your battery. Remote keyless entry is handy and a pager will tell you when your alarm has been set off. Make sure it's hidden, though, or a thief can find it and easily bypass it.
Many car alarms have an ignition-kill option.
Chop shops will find your car much less appealing. Use more than one type of theft deterrent for peace of mind. Check with the Better Business Bureau before you take your car in, and once the system is installed, ask the technician to show you how it works. You will find advice and comments about every type of security imaginable. Use this information to research what would be best for you and your car.