It shouldn't be that hard, but is it possible to hook up a very bright strobe light/LED with an alarm system? Say that the alarm goes off and the idiot is inside the car trying to take my deck. As the alarm went off, so did a very bright flashing strobe light fixed right above the deck, and a light in the gauge cluster. Sort of like a flash/bang effect with the loud alarm and flashing lights.

Sure it's possible.  I'd say run a constant 12V wire to the strobe through a relay.  Run the alarm output to the relay.  Alarm goes on, power to the strobe.