Factory alarms don't really offer any security other than if a door was to get opened.
But more importantly, the best thing to know before you get an alarm is that it is only a deterrent. Don't expect it to save your vehicle from getting broken into. If someone really wants what is in your car, they'll get it.
However, aftermarket alarms offer you the ability to make it a royal pain in the a$$ for someone to get what they want though, and you can make them aware of this before they even start to break into the vehicle. A simple sticker that comes with most alarms is a good sign to most that you've taken some measure to keep them out of your car. Alarms also come with an LED that blinks every few seconds and I would guess most thieves know what that light means. The shock sensor is a vital part of the alarm as well, BUT you don't want to set this so high that its a nuisance. You can do other options too like a glass break sensor, more LEDs, extra sirens, etc... it really is endless.
But remember, no matter what you do it's still only a deterrent.