Moparz is correct, if they want in, best you can do is slow them down or make it very time consuming for them. I used to be an architect and did Federal Courthouse security, and later theft prevention type design in a retail store type enviroment.
Keeping them in the open and visible is the best deterrent. Making them work to get in is the 2nd best deterrent.
If possible, it's best to have a steel skinned solid core exterior door, in a steel doorframe. A common way for them to break in past a steel door is to use a 20 lb sledgehammer as a golf club, and bust the steel doorframe on the hinge side away from the wall / floor. The door can then be pried up enough to allow a small kid inside to open the door. To prevent this sink a bolt or J hook into the cement floor next to where the doorframe will be. Cut a small piece of angle iron and drill to bolt it onto the J bolt and bolt it to the doorframe. That will make it much harder to bust away from the floor and wall. If you use a lock on the door that requires a key on both sides of the door will prevent them from opening the door from the inside (if you keep the inside key with you).
They will also use the sledge on exterior hinges, busting them off. Hasp locks just knock right off. You can cut angle iron and bolt it to the door in such a way to make it harder to hit these parts of the door.
They can also just tear off the siding in one small area of a framed wall, and punch through the sheet rock to gain access. This can be prevented by using 1/2" sheetrock on the inside wall, then stapling chicken wire (yes, chicken wire) over the wall, from floor to ceiling, then adding another 1/2" layer of sheetrock over it. That makes it pretty dang hard to even cut thru, when you were expecting to just kick your way into it. This is good if you need to create a divinding wall between two areas, or if you need to reinforce a small room, like a closet, for a gun safe or something.
Windows are always an entry problem. There are films you can apply to make them harder to break the glass, but the frames are usually so flimsey they just knock right out. Bars or wire mesh panels are about the only cheap effective means.
Course all of this sounds like you would be living in a crime zone to have to do this, but if you are trying to protect something valuable, and the building is in a back yard or large lot away from the road, out in the country, they have opportunity and time to steal your toys. Make it hard for them.
Scott