Having been the victim of a burglary earlier this year, I have to disagree. Home insurance replaces stuff, sure...after you meet your deductible, and if you can find it again; I lost some old tech thats pretty much impossible to replace at a reasonable price, and I've had to resign myself to hunting ebay and hoping to get 'lucky' and pay 3x what I did 10 years ago for an item that *might* work as advertised. And the loss of that 'secure' feeling in your own home...I didn't sleep well for a month afterward, and its still extremely creepy to think of some punk rifling through our personal effects. The alarm system helps mitigate that a little, in knowing that future incidents will be time-limited at least. And if my wife is home by herself, she has a panic button now.
I was also lucky, in that whomever broke in got spooked and left after just looting most of one room. They managed to get over $3000 worth of electronics and games, in addition to breaking our front door, but it could have been much worse. Still annoyed that I lost over 10 years worth of save games, but at least our computers were left behind.
I was considering building a motion-activated camera system on my own, that would email my phone pictures of captured events, and let me notify the police...but then I just talked to ADT, and got a system that covers my house perfectly, with added fire (smoke/heat technically) protection that will give my pets a small chance of being rescued in event of an electrical short causing a fire, or such. The rate is reasonable, and even though someone could technically break in and likely steal about the same amount of stuff as before, and escape before the police arrive, at least I won't then be relying on a random event to prevent them from ransacking my entire house. And if I do get robbed, ADT covers my insurance deductible now.
Some advice from what we learned in dealing with this...write down EVERYTHING. All your serial numbers and descriptive information on your computers/tvs/handhelds/consoles. Put it somewhere offsite. The police likely will never catch the thief if they break into your house, but if they have the serial numbers it increases the chances of recovering your goods if they find a cache of stolen goods. Plus, if you've registered your consoles, there's a chance you can get Microsoft to help you out in finding it or at least locking it out of XBL. I certainly dont mind screwing the thief or the recipient of stolen goods a bit, even if it doesn't translate to a direct benefit for me. And don't put credit card numbers into consoles. And make sure you have your login for that kind of thing handy, so you can go online and change the account info immediately and prevent someone from accessing your account. If your PC or an old credit card are taken too, well, there's lots of stuff to change and actions to take that I won't spend time detailing, suffice it to say that you have to change it all, unless you've got your hard drive encrypted, etc. If you have a laptop or a nice camera, get in the habit of leaving them at least partially obscured from sight, so if you are victim of a smash and grab, those might slip under the radar. They got my wife's old laptop from the table, but they completely missed my much newer and more expensive laptop that was sitting underneath a couple items.
Also, if you have them, save scans of all your receipts for everything. Our insurance didn't quibble at all about our listed replacement costs, because we had receipts for every single item save one, and we had the original box and UPC for that item. If you don't have old receipts, at least save the new ones. It doesn't take much room to keep the originals as well, and off-site scans for backups aren't hard. Just get in the habit of scanning it in right after you buy it, while you're registering and recording relevant serial numbers.
I'll second the suggestions I saw elsewhere regarding getting to know your neighbors. Our neighbors have alarm systems already (we were the only house in the area lacking, which really increases the chance of a random robbery IMO), but they started looking out for us after we told them of the theft. They actually came over and confronted the contractor I had out to repair our door, to make sure he wasn't a returning thief come for seconds (he was driving a nice unmarked truck). Having a good relationship with them can save you a lot of stress and trouble, and its good to have support available in case something does happen.
Finally, make sure you secure your doors and windows. Accept the fact that, if they want in, they'll get in, and instead focus on making it more difficult to get in. In our case, with the builder's stock screws holding the door latch plates on, a single kick was enough to rip them right out and grant access (both the standard latch and the deadbolt were secured this way, and yielded no actual security). 1" screws in a tiny piece of wood molding will do that. And most doors seem to be configured that way, since those are the default screws that come with door locks in most cases. Hit your local hardware store, get an upgraded latch plate with 6 or 8 screw holes instead of 2 or 4, and get 3" wood screws to secure it into the stud behind your door molding. Watch out for doorbell wiring or such, of course. Make sure you've got windows that lock well. If able, plant nasty bushes under your windows to make them just a bit more unpleasant to access. If someone wants in, they can get in, but now you've made it so they've got to work for it. They can't just kick a door open quickly and rush inside with no one the wiser, they've got to make a spectacle of themselves to do it.
Combine that with a monitored alarm system (either a professional install, or one of the many DIY kits that have a monitoring service attached), and you've got an effective deterrent and a loss-limiting system in place, and that's really the best you're going to get without hiring armed guards and transforming your house into your own personal copy Fort Knox. You don't need every window and door monitored...monitor the most likely points of entry, and use motion sensors in key locations to cover the rest of the house. Alarm professionals will give you advice regarding this. Our house is completely covered with a total of 4 sensors, despite having a lot of windows.
Just accept that, in the end, despite it all, you can lose stuff. Just take steps to limit losses, and to prevent 'easy' access for thieves, and you've done what you can do.