From an article in Via, the Magazine of the American Automobile Association (AAA).
Short form: No, traditional blaring car alarms do not work. They are just a PITA for you and piss off your neighbors.
Research suggests that an audible alarm is less effective than car recovery devices, such as OnStar, and immobilizers when protecting your vehicle against robbery.The quick answer: no. After surveying insurance claims for 73 million vehicles in 1997, the nonprofit Highway Loss Data Institute found “no overall reduction in theft losses” for cars with traditional audible alarms. That’s because blaring alarms rarely indicate theft. So frequent are false alarms that people are conditioned to ignore them.…Many cars come with an immobilizer, a device that prevents the engine from starting unless it detects a computer chip in your key fob. It isn’t foolproof and it won’t get you a discount, but it’s harder to crack than a standard alarm–and it won’t wake the neighbors every time a garbage truck rumbles past.