Lock your car and take your keys with you.  Close the windows tight.

To keep "smash-and-grab" artists from your car, remove your valuables.  Take them with you or lock them in your trunk.  Many break-ins occur because owners leave personal items such as, CD's, laptops, cell phones and other expensive items in plain site in unattended vehicles.  Don't temp a thief!  Hide purses, radar detectors, stereos, etc.  Or better yet, take them with you.  It's a good idea to buy "slide-in-and-out" mounting for devices like car phones, CD players etc..

NEVER leave an electronic garage door opener in the car.  It a thief has it, he could use it to rob your home.

NEVER leave your car running, or your keys inside; not even in your own driveway.

If you are parking in a residential driveway, do it so the car faces the street.  It makes it easy for neighbors or passersby's to spot someone tampering with the hood and difficult for thieves to tow the car away. 

If you park on the street, look for a spot that's well-lit and heavily trafficked.  Don't forget this when you're parking during the day, but won't be returning until after dark.

Always park with your wheels turned sharply.  Ten percent of all stolen cars towed away.  Sharply turned wheels make towing especially difficult.

As much as possible avoid unattended or poorly lit perking lots.  A car is five times more likely to be stolen from an unattended lot than from an attended lot or the street.  

If you must park in a long-term lot (i.e. airports, hospitals, etc), find a spot toward the middle, rather than a place along the edges of the lot.  The easiest "pickings" for them are the cars on the outskirts.

If you use a valet parking lot, don't tell the attendant how long you'll be gone, unless you have to.  You also might want to write down your odometer and fuel gauge readings -- in full view of the attendant, if possible.  Also, take the parking claim check with you.  Don't just leave it in the car.  Ideally, a car cannot be removed from a valet lot without it.