Well everyone is different. The empeg being stolen isn't the only problem you face by leaving it in your car.

When a theif throws a brick at your window or messes with your locks or trys to pry your door open (yeah one time it looked like the person used a pry bar on my door) then your faced with damage to your car. Yeah insurance will pay for it BUT the car will never be the same again. Also if the wrong person works on your car then it will be even more screwed.

If you have backup units then I can see why your not too worried but still. Re-ripping all your cds would be a pain and time consuming.