Didn't have an alarm system while renting, but as soon as we bought a place, an alarm felt like a must-have.
We use a service called SimpliSafe. It's a monitoring service, but you don't need anyone to come out and wire shit up-- instead, it's wireless (uses 3G), modular, and you buy a starter kit from places like Amazon, with various sensors that you can easily put on doors/windows, and can buy additional parts as needed. It doesn't cost that much every month and it works great. Perhaps too great...we had a few false alarms because of the dog and my mom screwing up, but hey...confirmation that it works. The cops actually came pretty quickly. And since nothing is wired up, it's easy to take everything down and bring it with you if you move.