Depends on what you are trying to protect. If its your house, unless you are loaded with cash and have the toys to show it, most burglars are pretty run of the mill and wont hit a place that has any type of security.
A dog that barks everytime someone knocks on the door is probably the best, simplest, and cheapest security you could ever buy. As far as actual tools and gadgets go, if you want to get serious you can buy a camera security system, but that will probably cost you quite a bit of money.
If you want to make it seem like you are serious, you buy fake/non working cameras and make it look like they are active at every major entrance to your home. In addition to that, get some motion sensor highbeam lights. If the lights themselves don't make them go running, seeing what looks like an active camera certainly will.