I guess it depends on whether you're trying to deter the vandalism, or only theft. The red LED is as good as any actual security system at deterring vandalism, because alarms don't go off until AFTER the window is smashed, so too late to stop the damage if the vandals aren't paying attention to which cars are alarmed.
If you've given up on stopping the vandalism, but just want to stop them from taking the car once they've broken in, then look for a security system that cuts off the fuel supply when activated. The noise might not be enough to stop the theives if there isn't anyone around to hear it until they can silence it (depending on whether they are just amateurs looking for easy targets for joyrides, or professional crooks interested in specific vehicles who know how to disable an alarm system).
I can't recommend anything specific though, because I've always just had the factory-installed alarm systems in my cars.
Another thing to think about, especially if they're just smashing windows and not taking anything, is where your car is parked? Is it very near the entrance that they're just running in, smashing a bunch of windows and running back out before caught? If they are looking for things to steal from the car, the only other thing I can suggest until you have an adequate alarm is to take everything out of your car (don't keep any CDs or even coins in the car) and leave every little door inside the car open (i.e., glovebox, ashtray, center console cover) so someone can quickly see that there really is nothing inside (don't forget to remove the glovebox bulb so you don't drain your battery if you leave it open). And, maybe a big note in the window that says, "Don't bother, you already stole everything of value!"