For those looking for some cheap security, pick up a couple of logitech webcams.
Set up a server in an isolated and locked down part of the house (or even better, have a friend store your video repository at his house, and set up a secure tunnel via SSH).
Have the machine with the webcam hooked up to it back up all video files to the remote server.
If you get intruders, you may not be able to stop them but the chances of recovery are greater. Not a lot of B&E jackasses wear disguises.
(also if you set up remote desktop software you can check on your house and herp room from remote locations)
Something to recommend against:
Wireless camera systems. If you have a wireless nanny cam or are considering purchasing one, make sure that it uses an encrypted signal. Those X10 cameras you see advertised in pop-ups broadcast in the 2.4 GHz range, and can easily be monitored from the street with an equipped laptop. Makes it great for thieves who want to make sure there's nobody in the house.
Don't put labels on the windows that say you have a camera system. Only refer to an alarm system. No need to tip off thieves to wear masks.
If anyone is thinking about setting up some inexpensive DIY home security and needs advice or tips to find software just ask
--edited for typo--