Most newer cars have a key fob to set an alarm. When returning to your car, use your fob to "reset" your alarm. This will create a loud noise which can startle any bad guy hiding near your car - giving away his presence.
It will also usually turn on the interior lights in your car giving you the opportunity to see if anyone has gotten inside.
(An added bonus - if you leave your headlights on when you park, it will also turn them back on giving you some much needed light in dark areas or at night.)