Some types of security systems you do need a phone line, like the one you want. Note that these systems almost always require a monthly fee & contract.
I would personally recommend a 4 Camera CCTV harddrive system as the specifications have recently gotten much more advanced, and they are extremely good value. You can get 4 NV cameras, cables and processor/harddrive unit for about $600, but you can find them for less.
I would alsrecommendnd PIR Halogen lights for outside, as they are very inexpensive.
If you are on a seriously tight budget I have seen extremelyRealisticc dome CCTV dummy cameras for about $2, but make sure that it has no flashing red light, as this is a dead give away to criminals; real security cameras never have flashing LEDs.
Hope that helps.
In the UK we have Maplins where we buy this sort of thing, I think your equivalent is RadioShack, start your search there.