Never leave your keys in the ignition or leave the car running, even for a moment. Estimates indicate that 80% of all stolen vehicles were left unlocked, and 40% had keys in the ignition. Some auto thieves hang around convenience stores and gas stations.
Car alarms are excellent for deterring thieves.
Park in a well-lit, busy area. This is for your personal safety as well as your car's.
Do not leave ANYTHING visible in the passenger compartment of your car when parking. Lock all items in the trunk prior to arriving at your destination.