Having worked in the past in law enforcement and in security systems I would sometimes tell people this joke:
Two guys are camping when they hear a bear outside the tent. As one guy starts putting on and lacing up his shoes, the other says, "don't be silly, you can't outrun a bear."
The other guy responds, "I don't have to outrun the bear. I just have to outrun you."
Each little bit of security makes you just a tad "faster" then your tentmate. Lock your doors. Lock your windows. Get a dog. Get an alarm.
But realize the time delay with an alarm. Someone kicks for a while at your door and finally breaks it in at which point the alarm activates. They dash in and ransack the place and split - usually in a minute or two - sometimes less. Meanwhile the alarm system calls the alarm company who calls the police dispatch and gives them the info. You have probably passed 60 seconds already. Then the call goes out to the officers - assuming they are available and there aren't higher priority calls on the board. Car accidents, robberies, and many other events take precedence over alarm calls which are typically 95+% false. Unless the officer just happens to be right around the corner, it is another couple minutes till they arrive. And these are best-case numbers. The burglar is usually long-gone when the officers arrive.
Don't forget that the bad-guys don't respect life or property. They rip earrings out of ears. They smash windows and wreck dashboards to get a $150 stereo they can fence for $10 (if that). Or, in the case of a good friend who had upgraded his alarm, added security locks on the windows, installed lights and more, they simply backed their pickup across his front lawn and through the french-doors and proceeded to throw whatever they could get in 30-seconds (hundreds of CDs, stereo, TV and other easy to move stuff) into the truck and sped away.
In that vein, a safe may protect your goods but put you at risk for a home invasion (http://xkcd.com/538/).
As others have said, insure, encrypt and archive (off-site).
BTW, good neighbors are great. I ended up following two of the four burglars that hit my neighbor's house. Cops surrounded the block they ran into and eventually let the dog bring one out when he refused to come out on his own. Recovered all the property as well. When our friend's car down the block was damaged in a hit-and-run it was a neighbor who provided the plate and description. We are organizing a neighborhood watch and working to catalog the available security cameras on the block at which point we will probably get the city to put up a "video monitoring in force" sign at the ends of the block.