Belkin's USB Laptop Alarm is questionable and funny looking. It costs $25. Basically you attach the base to a sturdy object and plug the USB cable into your computer. If someone disconnects the laptop without first inserting the magic key then an alarm sounds. If someone (you) loses the key then you have to steal your own laptop from yourself while everyone watches and you scream "I swear it's mine! I just lost the key to this stupid alarm!" Which is pretty much the technique I use to steal laptops. Except I wear pantyhose over my head for good measure.
Keep your laptop safe with a USB alarm [coolestgadgets]