Couple of ideas when approaching your car. If you have a radio lock, don't unlock until you are at the car. When some distance off, look under your car, closer if you must. Walk passed your car. If lurker is about, someone eyeing you hard, head off to elsewhere and get help. Look for stuff under your tires. Eyeball the backseat before you open the door. Don't leave temptation in plain sight. Put purchases and mail in the trunk if you are going shopping or will be away from your vehicle.
If it's a robbery just give them what they want. If it's YOU they want there's plenty of good advice above as to how to handle yourself.
I was at our local Post Office one day and I noticed an SUV with the windows partially down and a baby alone in an infant seat! I could'nt believe it. I stood by for almost ten minutes to watch over the situation. Finally a woman came out of the PO and I said to her "Lady, if I were the wrong type person you would no longer have that baby!" She cussed me out!!! I thought about reporting her but decided against that course rather quickly for obvious reasons. I hope my comment to her made a lasting impression. Better that than to disrupt her family. However I could be wrong on that point. It was a judgment call.