You should choose the best alarm system you can afford, but remember any alarm system or anti- theft devise is better than none... most cars are broken into by opportunist thieves and any deterant that makes a noise - attracts attention or causes a delay will cause them to go to a car without anything on it first.
An alarm system which operates the central locking as well is great, because it means that you never forget to set it, some even close the electric windows and sun roof as well, if it's also got an imobilisor in it so much the better, but things like steering locks are good because they're very visible... what ever your budget, get some kind of anti-theft devise, I'm sure you won't regret it.
Most good insurance companies will offer a discount for some approved alarm systems, it's worth checking with them first before buying your alarm system.
If you are unsure about any of the above information, take advise from your favourite local garage or specialist.
If you have any other question, E mail me, I'll do my best to answer you quickly and honestly.