Not a dang thing you can do. It takes a few seconds to smash your window in and grab something, all the noise of the alarm does not mean a thing to someone doing a smash and grab.
Best thing to do is to keep everything out of sight, never leave anything in view. For items you need to leave in the car, but do not want them stolen in case of a break in, bolt up a lock box somewhere.
Now for items that take longer to get, like a stereo, an alarm is good as it draws too much attention for the amount of time. But in my opinion, alarms have almost become their own enemy, I live in the middle of the city and I do not even give a glance at an alarm going off, because they go off all the time for no reason. Parking garage attendants do not even bother looking.