You may notice that I have burglar bars on my windows and doors. I do believe I'm the only house in the neighborhood that does. I don't really care, because I've been to too many burglarized houses where the criminal got in by breaking the window, or forcing the front door.
It doesn't matter if you locked the window. Glass is not a barrier. Not even a little bit.
It's not any kind of deterrant either. The noise of the window breaking is minimal, and your neighbor probably won't hear it.
Most exterior doors can be forced open with one or two well placed kicks. The criminal will get in, snatch your TV out of your living room and whatever other valuables they see, and be gone in five minutes or less. Don't even get me started on doors with windows in or beside them.
Alarm systems only go off after the bad guy has gotten into your house. If it's a common burglar not looking for a fight, you may be okay, but what if it's a home invasion? Say the guy puts a gun to your head and tells you to turn the alarm off? Not to mention that even the best alarm companies have a delay while they make phone calls, and the police may take several more minutes to arrive after that. That's if you're lucky enough to live in a place where the police show up quickly, or at all.
After I installed the bars I did make sure to also install smoke alarms in every room of the house, and I test them regularly and change the batteries every year. These are the "Su Casa" bars from HD, the best price I've found. If you get the same, ignore the one way screws they come with, they suck beyond description. Use hex screws, and file them round after you install them.