Making your own security system isn't too hard. If you'd like one that is cheap and simple, Instructables user deba168 shows how to make a wireless motion detector with an Arduino.
Deba168's system uses two Arduinos, an RF transmitter, a motion sensor and a few other parts to piece it all together. When the motion sensor detects movement, it buzzes the other Arduino. Combine that with a text messaging alarm system and you have a cheap and easy way to keep an eye on things at home.
Arduino Wireless Home Security System [Instructables]