Good friends from church just experienced this - back sliding door was unlocked, someone came in during the night while they and their six children were asleep, and stole mostly electronics. Praise the Lord no one was hurt.
Lots of good tips here on how to protect your belongings. I've experienced three break-ins (2 different houses), and it's not fun.
The last one, we had deadbolts, alarm system, etc. So they kicked in the front door, breaking the frame and damaging the drywall inside the house. We had to replace the whole door and frame. Evidently the sound of the alarm going off scared them because they left without taking anything. We had lots of snow at the time, and I think our security system sign was buried in the snow.
Also, in this age of everyone sharing everything they know about themselves on Facebook, etc., just a reminder to not post that you're going to be out of town, on vacation, away from the house, etc.