LEDs, alarm stickers, brand stickers, they all attract attention. Playing your system loud enough to be heard for a good distance is the worst though. Any oportunity thief in the area will watch you park and regardless of an alarm they will pounce in and swipe anything they can get out in 60 seconds or less. We all ignore alarms these days so don't kid yourself into thinking that it'll prevent anything. It might make the thief limit his theft to your deck at best, but it's not going to keep him from breaking your window and at least grabbing anything that might be laying around.
I had a deck stolen once while parked overnight in front of my grandma's house in a retirement villiage. They tried to take my sub and amp, but the box took some finesse to get out because of the small trunk opening and they gave up. To top it off, I had left a screwdriver in the car and they used my own tools to take my deck out, what a slap in the face.
A couple things that I would suggest if you're really worried about theft. (in no particular order)
. Get stereo coverage with your insurance. It can be kind of expensive sometimes, but so is your stuff. If you've got a couple thousand dollars worth of stuff that can walk off easily, then a couple hundred a year to protect it isn't that bad. Although you have to have full coverage on the vehicle to get that option, so it may not work for everyone.
. Like others have said, pick your parking carefully so you're close to lights and/or high foot traffic. Thieves don't like to be seen, so park where people are walking past a lot and you're less likely to get messed with. Plus, if you're parking somewhere that has a tendancy to clear out as time goes by and leave your car all alone in the far reaches of a lot, then if you can, go out every couple hours or so and move your car closer... and keep the stereo off when you do that.
. Like others have said, watch your volume levels when you get close to your destination. If there is a thief hanging out in the parking lot of the mall, and they hear you drive in, then they'll probably be headed your way.
. Disconnect your trunk release from inside the cabin. I know it's annoying, but most cars have a way to lock or disable the trunk release latch and make you use a key or remote to open the trunk. This can stop a thief long enough to save the part of your stuff that is back there. Most cars these days also have folding rear seats though, so that can be a moot point unless you can also lock down the seats. Smashing glass only takes a second, and prying a plastic dash apart is very easy. Prying a trunk open can be done of course, but may take just long enough to make a thief move on.
. Remove anything that is removable. Take your head unit faceplate, take your touchscreen, take your CD case. Or at the very least hide these things under seats or in the trunk. Give the appearance that what they want isn't in the car at the moment.
. Disguise. I've seen some CarPC installs that put a touchscreen in the dash and recess it a little so they can place the fake face of the factory deck on top of it so it looks factory still. I think this is a great idea and unless you've broken the rule about blasting your stereo on the way into a parking lot, your car shouldn't invite any attention.
. Lie. Ok, this one might be hard to swallow, but get a static stiker made of a cheap knock-off brand and toss that on a window just for when you're parked. Like toss a Rockwood or Sparkomatic sticker in a window when you park at the mall. That might make a thief go away because that crap isn't worth pennies at a pawn shop.
Just some ideas I had rolling around in my head...