Video: Alarm systems are complicated affairs. However, if you're just looking to catch a sandwich thief at work or a cat spilling over all you water bottles, then Make shows you how to build an alarm system with an Arduino and a USB camera.
Once you get the alarm set up, it will sense movement near the Arduino, snap a picture, then send it over to you using If This Then That. All you'll need is an Arduino Yún, PIR sensor, a USB camera, speakers, and a USB sound card. It's a bit on the expensive side, but it's infinitely reusable and easy to move from place to place. You probably don't want to go and rely on this to protect all your valuables at home, but it's a fun project for less important stuff.