Sorry to hear about this!

A few rules everyone should follow....
Don't allow friends to bring a friend who will bring a friend etc... to you game room. You don't know who these people are!
Cover you new goodies (from arcade machines to Xbox's) in a sheet when moving them in, no need to adverise!
Locks, Security Systems are a must, Don't secure your gameroom with a cheap lockset, You get what you pay for!
Use 4'' or longer screws in your door frame and door hardware, Those cheapo 1/4'' screws in the lockset can easily be kicked out!
Do get insurance, I know it won't replace everything, but if the worst happens, It's better than nothing at all.