The latest hacker trick is to get a hold of this stuff, (I don't remember the name of it, though thescreensavers demonstrated it a while ago), that is a metal compound, that burns white hot. The paranoid hacker has it set up so that it is attached to his hard drives with some sort of igniter. Then, with a combination of emergency keyboard strokes (which he applies as they kick his door in) it triggers this stuff to start burning, melting anything it touches. The key thing being the platters in the hard drive. The stuff is burning so hot, you basically have to watch it burn itself out, so trying to put it out with an extinguisher won't work (not something you want to test in your house!).
I've also heard of them having a super powerful electromagnet inside their case. When the door busts open, they flip a switch and the magnet erases everything. This can't be no slouch magnet, because it takes alot to actually have a strong enough field to disrupt the data on the drive (considering there already are magnets inside a hard drive).
I suppose the other thing would be to use IBM hard drives. At one time they were using glass platters. So then you could have the drive sitting outside the case with a sign and a big hammer saying "Break in Case of Emergency". They would have a pretty tough time putting that humpty-dumpty back together again.