Sounds good, but most of the time a burglary is over with in a few minutes. Not quite enough time to get the house warm. Now a high pitched whine with strobing lights and cutting out regular lights might work, although it could be a safety thing that would get you sued.

How about playing a recording of some old farmer's voice saying get out of here, with the sound of a shotgun getting cocked, etc. Or, for an outside perimeter alarm, turn on the lawn sprinklers.