Keep windows closed and doors locked - don't take chances for even a few minutes. Use a 1-inch dead bolt for each exterior door. Secure sliding glass doors by inserting a broomstick or dowel in the inside track.
Consider installing an alarm system or motion-detecting lights.
Suggest that someone is home by using electric timers to turn on the radio and house lights at certain hours. Vary the lights that you turn on.
Make sure that outside doors are made of metal or a sturdy wood.
Check to ensure that doors fit tightly in their frames. If they don't, install weather-stripping around them.
Etch valuables with your driver's license number and state abbreviation in visible places. If you don't want to ruin valuables by marking them, photograph them instead. Keep an inventory of your property.
Keep jewelry and other valuables in a safe.
Consider getting a dog - many kinds of dogs will make enough noise to discourage burglars (see 'eHow to Select a Dog Breed').
Leave spare keys with a neighbor rather than hidden outside your house.
Keep shrubs and bushes trimmed so that they can't conceal prowlers.