The point of diminishing returns comes quickly. The simplest and most cost effective measures are window decals, motion triggered lights, egress rated window well covers, armored phone line/TNI box and a fake camera or two.
Look at your landscaping. Does it provide cover or access to unprotected entry points? Pay attention to garage access doors or trees that provide access to second story windows. Most security installs only monitor first story and basement doors and windows. A smart thief knows this. A big Rottweiler doesn't count as cheap, but will be a very effective deterrent.
A thief undeterred by such measures is probably a drugged out, inattentive goof. A hard core pro is unlikely to be interested in the stuff working class stiffs own. If the .gov pros break in while you're on vacation, you've got bigger issues.
Security systems are important, but not foolproof. The best reasons to own one are fire or flood detection, medical monitoring for the elderly and logging the comings and goings of family. If you have kids, it's not a bad idea to have a zone on the safe and liquor cabinet. When at home, arm the perimeter to provide an early warning giving you time to get your gun and into position to defend yourself and family.
A cellular communicator is a smart but costly backup to survive a cut phone line. Place the siren high so they can't foam it. Better yet, place a strobe high up (in a window maybe) so the police or FD can find your house quickly. Your system should have a battery backup. Power can be shut off deliberately while you're on vacation. The thief returns a couple of nights later expecting your system to be dead. Buy a UPS at Best Buy. It will greatly extend the survivability of the security system during prolonged power outages.
The nightmare scenario for gun owners is an armed invasion. Imagine your loved ones held hostage to force you open the safe. Have a plan and don't share it beyond the family.