Let There Be Light
Park in a well lit area that is easily visible from multiple directions. It's not as easy to steal something if everyone can see you doing it.
Park In the Middle
Try to avoid parking near exits of parking garages and parking lots so that it's not as quick of a getaway should someone try to steal your car. If you park in the middle, thieves will have a lot of other cars to pick from before getting to yours, and will have to drive farther to get away.
Extra Security Doesn't Hurt
When deciding on different parking options, consider spending an extra couple of dollars for a monitored lot instead of parking down the street somewhere nearby. Security guards can provide that extra bit of protection that deters thieves from stealing your car in favor of other, less guarded cars.
Lock your doors and roll up your windows. This is especially important if you like to store anything in your car, since thieves could just walk up and steal those if you don't provide any barrier.
Not a Storage Shed
Don't leave valuables in your car! Even if thieves aren't looking to take your whole car, leaving valuables like laptops, cell phones, GPS's, and other nice things will certainly attract attention, and might get your car broken into anyways.
Secret Spare Key
Definitely don't store your spare keys anywhere on your car. Keep them somewhere safe in your home or other location. If a thief figures out your spare is on your car, they can easily steal it without anyone noticing.
Get a Tracking Service
If you invest in some car tracking service like LoJack or OnStar and have your car labelled, thieves might be deterred from messing with your car in the first place. If they know your car will be tracked down by the police immediately, they will be more likely to just pass up your car entirely.
If you spend a little extra to get a more advanced car alarm system, thieves will be scared off when they try to take your car or anything inside of it. Some systems call or text you when something is up, while other systems even alert the police or just make noises when people walk by to make them nervous and back away.
Lock It Up
Steering wheel locks, such as The Club, and brake locks are cheap and simple solutions in addition to simply locking your vehicle.
Don't Leave It Running
If you need to leave your car unattended for any period of time, don't leave the car on with the keys in the ignition. Don't even leave it unlocked for this time; it only takes a few seconds for someone to walk up and take it.