Usually the dogs are there and they tend to warn at the first sound. I have the trusty shotgun or rifle. This house is built like a bunker and theres not much chance of penetrating the walls, though the shotgun is perferrable because of windows.
The only time I had a problem is when someone was peering in the window and I caught someone trying to break into my mother in law's house. Usually though most of our problems come from animals, so outside I perfer a rifle for better penetration.