As a software engineer, residential security systems bug the hell out of me. Almost all of them are susceptible to someone coming up to your house and snipping the phone and network cables before entering. That's right, these systems do nothing if the connection is cut. There is no keep-alive. Apparently, phone lines disconnect so much that if the security company called the police every time it happened, there would be a lot more false positives than actual emergencies. ADT does have a product that helps with this: they use wired phone lines as well as cellular lines for communication. This setup is harder to disrupt.
Moreover, almost all security systems are susceptible to a very simple attack: run into the house and find the wiring panel. Then smash it. There, now no call will be made to the monitoring station. Most "new" internet connected panels suffer from this because they integrate the key pad and the central unit into one easily smashable device that is typically installed right by the entrance.
Also, I actually get a discount on my homeowner's insurance by having burglary and fire protection installed. If I do this myself, no matter how clever, the insurance company won't see it as a real system.
Realistically, if someone wants to get into your house, and grab something or hurt you, they will. No security system you can afford will prevent that. What you really want is a big fat ADT (or whatever) sign in your front yard, so that the lowest level burglars simply move on. Fire protection is a whole other game and at least to me is very important: I want to protect my possessions, but even more importantly my pets.