Several simple precautions will serve you better than a home security system. Locks on back fences, sufficient outdoor lighting, decent locks on your doors/windows. Theives will first try to enter using a ground level entrances like basement windows that are not in plain view of the street. Secure them well, light them up with motion detector lights, and the theive will rob a neighbor instead.
You can also sitck decals that say "Secured by ABC Security Systems" in a few key windows (in the back) and on the front door. The thief is going to AVOID your house. There are plenty of others that have no decals, dark exterior rear entrance, without a lock on the fence, and empty Dell and Xbox wrappings and containers out front with the trash.
A home security system does offer extra piece of mind. We had lousy service from ADT in a small business where I worked, so I bought wireless home security components online and hooked them up myself. We've since moved, and done it again. No monthly fees! The system calls my cell phone (and up to 7 other numbers) if theres a problem. It sniffs for smoke, CO gas, water in the basement, and the usual contingent of glass breaking, doors, motion, etc.
The website below is where I got much of the stuff. The rest I bought on ebay. The brand name of my components is DSC and I have been very happy with them. One complaint is that the accompanying manuals are kinda cryptic. The first time I programmed the system, it took several hours to understand what to do. The guys at A&E (the website) were helpful. Email them what you want, and they will recommend a set of components.
Sometimes you can find systems in Home Depot-like stores, but the components look pretty cheesy to me.