You laptop and video games/dvds/cds and related players are the first and easiest target. For this reason alone you should get a desktop. At the very least you absolutely MUST put a password on your computer.
Keep in mind if you go to a school with a good IT staff, if some idiot steals your computer and plugs it back into the school resnet, they can be tracked down directly to their room.
The only place your clothes are likely to get stolen from is the laundry room, and although its rare, I've seen it....lol someone give me a place to upload to and I'll give an example....
Just keep your door locked at all times if possible. When you go to take a dump, lock your door. When you go to talk to your friends down the hall, lock your door. There is no excuse for having an unlocked door when noone is in the room, unless youre totally 100% cool with ALL of your suitemates.
Oh, and dont be an idiot and bring a airsoft gun to your dorm. I almost got shot by a detective cause of one of those. Although it was fun while it lasted.
As wild as your roomates will probably be, you will find time to study and most if not all people when asked, will quiet down. Unless youre so loud that you cant hear them asking you to quiet down.

When someone comes up to your window and tells you that youre so loud playing day of defeat that the entire quad sounds like the vietnam war (heheheh), it might be time to lower it.... Theyre loud, but 12 inch subs next to their wall are great for getting back at your bastard suitemates for trashing your suite and keeping you up all night. Stealing their cardkeys, weed, and koolaid isnt a bad idea either. Like I said, the fully harmonious suite is very very rare...
Just be cautious all the time, the one time youre not is the one time you will have stuff stolen from you. If theres a party going on in your room, thats when its likely to happen. Half the people there you probably wont know.
And for the love of god, dont trash your own bathroom. Its probably only getting cleaned once a week.