Something I've seen linked to from a number of places Karrysafe. They make a range of street theft deterent bags. All lined with slash resistant steel mesh and one even has an alarm that goes off when it's taken. Colors other than red will apparently be available in the future.

I myself have thought about, but done nothing about obviously, some sort of proximity alarm system for luggage. Something where you would put one piece in a laptop bag or other item, and put the other smaller piece on you belt or keychain. By means of some wireless solution if they became separated an alarm would go off. Of course an easier system is to dispense with the wireless piece and use some sort of pull out plug on a string or chain.

I suppose the meta point though is what you intend the system to do. As with computer firewalls etc you need to assess the sort of risk you realistically want to protect against, and then tailor your defenses. I think Karrysafe targets the oportunistic street thief so they don't need to protect against all dangers. It does raise the point that perhaps a more stealthy appearance and color would also help as it makes the bag and its contents look less valuable.