Alarm of course. But, and I just bought one, how about a car cover. I just bought a custome car cover for a couple hundred bucks. Along the bottom is a cabel with a lock.
Sure, you can cut the material the cover is made out of. Sure, you can cut the lock or cabel. But in doing so, now you have all this fabric to mess with and slow you down. Then you have to get past my car alarm. Set of the alarm and have a car cover sitting on the ground looks odd and should raise questions and is a pretty big frustration to a car theif. Harder to ID the car to see if they want it. And over all, if they want it, they will find a way to take it, as stated.
A remote fuel pump kill switch is also a good easy option.