I have comments, as I always do.
First, get your alarm installed by someone who knows what he's doing. I used the guy who does our alarms here at work. Sure, he gave me a good price, but I also wanted some pretty unique stuff.
I disagree with the wireless comments. A professional grade wireless alarm is as good as wired. The cheap do-it-yourself ones could well be junk.
Think long and hard about including a firealarm or CO detector on your system. Most of the better alarm panels provide zones for that, but there are distinct drawbacks. If your panel sends out an alarm for either, you've got major damage. A false intrusion alarm will result in the now grumpy cop walking the perimeter. When the fire dept gets called, they come inside. They equip them with cool house wrecking tools and the training in how to destroy a door and its jam, along with any sidelights. A false alarm will cost you $1000 or maybe $1500.
As for how the system handles alarms, you have many options. Most the alarm company won't tell you about. First, everyone knows about the annunciator, sounder, call it what you please. Loud is good, louder is better. You can also put a strobe on the roof where everyone will be able to see where the alarm is going off. The panels all have dialers. They connect to your phone line. Copper wires that any thief worth his salt knows how to cut.
The panels usually have aux. outputs. Relays that can trip when the panel goes down. You can have them wired to a secondary dialer, some of which can use cell phone dialers. Pretty hard for even good thieves to defeat. Some will also call a succession of numbers, which could include your cell phone or pager, your wifes, the normal monitoring service, your neighbors, relatives, etc. Sure falsies annoy the people. Real alarms are good. You've got an instant party.
Think about your gun room. Motion detectors are great. But so is a sounder that will wake the dead. It gives the thieves something else to worry about. When he noise level exceeds a certain point, its hard to think or concentrate. Its also hard to find the source(s) of the noise.
False alarms are a pain. We had one last summer. We were across the river on an errand. I got the phone call on my cell, so I spun the car around and used the horsepower the way God had intended. We were 5 miles out, and a couple of lights. I still beat the cops. First to arrive was the bicycle cop. He came pedaling up the grade out of town, but I passed him. Someone or something had tripped my garage door opener. When the garage door opened, it dropped the door zone and the garage motion. Two zones down on an alarmed panel brings the troops, maybe just not fast.
Nothing was taken, but the garage door was wide open. A weakness in a system can be something other than an alarm fault. With us, it was some errant signal that caused the door to open.
Another thought. Those of us who like our stuff get upset with those who try to take it. When you're sound asleep and the thing goes off, you get up, grab your nightstand gun and flashlight, and head out. You can see from the keypad which zone(s) have the problem. Thats where you go. The monitoring service is a boring job, so middle of the night intrusions get attention.
When he asks is everything OK, of course you're on your way outside. So your wife answers NO, and then that you've gone to investigate. The minimum wage jerk on the phone has been trained in the far eastern or western states. Huddle in your bedroom and let them take what they want. BS. Go outside and stop it, right now.
So when he asked my wifey told him to dispatch the police. He had them and her on the line. The local PD wanted to know how to identify the homeowner (that would be me.) Wife, sharing my brutal honesty, just replied "he's the idiot in his underwear with a bright flashlight and a big gun!" Yes, that would be Dick. No, it wasn't a 380 or 38 special. It was a 44 Maggie, its got a laser on it, and a mad man behind the wheel. OK, the hair trigger is shared by the angry homeowner (that would be Dick, again.) Oh, I edit in the flashlight, a Surefire M6, the kind you can grill steaks on from 20 feet out.