Making your own security system isn't too hard, but if you'd like a super cheap and simple method, Instructables user deba168 shows how to make a wireless motion detector with an Arduino.

Deba168's system uses two Arduinos, an RF transmitter, a motion sensor, and a few other parts to piece it all together. When the motion sensor detects movement, it buzzes the other Arduino. Combine that with a text messaging alarm system and you've got a pretty cheap and easy way to keep an eye on things at your house.

Arduino Wireless Home Security System | Instructables