Do you have an aftermarket alarm system? I sure hate to hear about stuff like this. Many times, an alarm system will create enough noise to make the theif anxious and usually nothing happens, unless the theif is ballsy enough to try to disable the alarm.
Movie theater parking lots are usually very big, so it's easy for a theif to break into a car without making noticeable noise. I've heard of a siren that is so loud, you would be in pain if within 20 feet of it, let alone inside the car. Of course, if a theif wants inside your car, their only a single piece of glass away from total access. Thankfully you have insurance.
I've got a Viper alarm, but I really think that I'm not much of a target because I keep my interior clean of any visible items, plus I always remove the head unit (basically looks unappealing). Man, someone you know or have shown your car off to sounds like the probably theif.
There is an alarm I might be interested in if I get a new stang in a year or two. Basically, it has all the main features, plus it has a "pager" that will tell you if your car's alarm on/off AND it will notify you immediately if the alarm is triggered (as long as you are within a mile). The pager will also let you know what type of sensor was triggered, so you know if it was sound, impact, or a specific zone. Once you get the notification from the pager, you can find a window or other viewing area to find out what is going on and call for help quickly. Carry a camera? Take pictures of the theif while he/she is in action (good luck, but a few people have been that lucky). I think this system is sold through places like Crutchfield. Very interesting to me. Insurance is the best policy, though.
Good luck. Hopefully you can get some good parts cheap.