My advice is to have your car 'sound-proofed'. For about $500 you can buy all the materials to fit your car's floor, doors, trunk, hood, and for a little more, your dash and roof. Another $500 and a good auto upholsterer will install it. Just as a good listening room makes all the difference in home audio, a quiet cabin is the best investment you can make in car audio. Not only will it probably double the improvement of any system you install, it will also make your car rides more pleasant in general.
Another piece of advice is to be savvy about hiding any high end amps under seats or in the trunk, using generic speaker grills (or at least removing high end manufacturer labels) and if possible install a new head unit in the glove compartment. If thieves see a high end stereo your car will at some point getting broken into.