A decent/cheap solar motion detector LED light
a cheap "security camera" that looks like a small USB charger & plugs into an outlet and records right to a SD micro card
the small coin battery powered door/window alarms that Harbor Freight sells. tape or glue the magnet or the alarm to the light
There's also the 209 primer powered trip alarms that are kinda hard to ignore.
(they're not a set gun, tho some will set off a 12 gauge blank. no barrel for any projectile)