1 - Don't make yourself an easy target for "smash & grabs." Keep all valuables out of sight & out of mind (cd collection, radar detectors, laptop computers, etc, etc). The factory PATS system is pretty decent, but that won't deter a dedicated thief from driving away (or towing away) your ride.
2 - Layered security is usually your best bet. It's true devices like the Club can be easily defeated, but they are a visual deterrent, so they *might* persuade a thief to look for an easier target.
Other options like aftermarket alarms, fuel kill switches, programmed chips/PCMs, Lojack, proximity car alarms w/ built-in paging capabilities, etc, are also viable.
You could also go so far as to pull/remove fuse(s) to render the car "undrivable" (similar to what a fuel kill switch would accomplish).
3 - Remember, no matter what you do, if a thief wants your car bad enough, it will be taken. Read the fine print of your insurance policy just in case, so there are no nasty surprises from your insurance company if you car is stolen.
Keep an eye out for which makes/models of cars are being reported stolen - it might reveal a trend...