Most standard fit security now is Thatcham approved, so other than convenience features (remote start, headlight activation, total closure etc) you won't get much value for your money by adding additional alarms.
Also, some manufacturers get (understandably) shirty when you start fiddling with (thesedays, very complex) wiring, and you can cause yourself warranty issues.
I would recommend two additional devices;
Firstly, a Tracker, as Gibby recommended. This will allow the car to be located if anyone does take the car by hi-jacking/key theft
Secondly, get your windows fitted wth a security film (comes in clear if you donlt fancy the tinted window look). This will stop the opportunist from getting in via smashing a window, and will ensure your iPod remains in your glovebox etc (not that I keep mine there, you understandÂÂÂ

)