Park your car in an area that is well-lit and near lots of people.
Keep the windows rolled up and the car locked, even if it's parked at your own house.
Keep valuables in your car hidden. Consider buying a removable stereo face to keep in your trunk or carry with you.
Consider buying a visible mechanical locking device to lock the steering wheel, and/or an auto theft alarm system.
Install locking lug nuts to prevent your custom wheels or externally mounted spare tire from being stolen.
Keep in mind when purchasing a new car that some makes and models have a higher incidence of theft than others.
Keep
your car registration and insurance card with you instead of in the
glove compartment so that thieves cannot produce these documents if
stopped by police.
Disconnect
either the battery or the coil wire from the distributor cap if you
have to leave your car unattended for an extended period of time. Car
thieves will often not have the time or the desire to diagnose why the
car won't start.
Take
your ignition keys to a locksmith or car dealer to remove the key
number, which thieves can use to have the keys duplicated (jot down the
number for your records first).
Etch
the vehicle identification number (VIN) onto the doors and fenders of
your car with an electric engraver for extra protection. This helps to
discourage professional car thieves, who will have to remove the
markings to resell the car.