DeWalt makes a nice system. I sell these. When you aren't using it in your garage, you can pop it in your car and it becomes a DIY Lo-jack:
http://www.dewaltmobilelock.com/remote-security
You will need a phone line or Internet connection to the garage, though...
If you just want to make noise, Home Depot sells motion detector alarms that are loud as hell for $19/ea. They are pretty reliable. I've never had one trip false.