As someone who grew up in the city hearing about all the thieving and home-invading that goes on in the country, I was a little antsy when we left the city for the farm life. Now that we're out here, it's just as grand as can be, and we've had no problems other than a pest who comes to the door asking for money from time to time.
But we're prepared, regardless.
Our house, of course, has a real alarm. For the un-padlocked sheds and main chicken coop, I use
wireless door chimes on the doors. They're cheap, and work up to 300 feet.
If one of those doors opens in the night, I get a series of repeating beeps in my bedroom telling me exactly which door opened. At that point, I have several items within reach that can guarantee a bad day for someone with less-than-noble intentions.
Driveway alarms work well if you want to know someone / something is headed towards your house (or your coop in this case), while the chimes warn you when they're trying to actively get in.
We used padlocks on the coop for a while, but they quickly become a pain when it's cold and/or raining.
In addition to the chimes, we now have a pair of Great Pyrenees pups to deter thieves of the four-legged, two-legged, and winged varieties. They're friendly when you get close, but boy do they make a ruckus (a deep, scary ruckus) when they spot something out of the ordinary.
Motion sensitive lights are good deterrents - you can get 500-watt halogen lights for about $75 each. Those things will turn the night into day, and as we all learned in Sunday school, evil cannot abide in the light.
Electric fencing is also good to have (we use it to keep things in right now), and as previously mentioned, solar is a very good way to go. A 10-mile solar charger is under $200, and packs quite a wallop. I say this from experience.
One thing I've noticed over the last few months is that nearly every person who stops to buy eggs from me ask if I'm selling chickens. Some have even gone so far to follow up with questions about how many chickens we have, if they're good for eating, and so on. They might be innocent questions...but then again, they might not. I'm a paranoid city boy at heart.
I think the economy is going to get worse, not better, and I believe it's just a matter of time before some people start to think that my (or your) chickens and eggs are a better deal than the ones at the store. It's up to us to prove them wrong.