I 2nd the notion of a dog. Someone came into my house when I was sleeping about a year ago. The dog scared them off and woke me up. He's only like 12lbs, but he did the trick. Most burglars aren't willing to fuck with a dog of any size, it's just not worth the noise and the hassle, they'll pick a different house.
*edit*
I should mention that I'm also strongly in favor of a shotgun
