Well, I think the same rules that help prevent your desktop from being stolen at home apply in the dorm. Don't leave the front door unlocked and be mindful of visitors you don't know. Make sure your roommate(s) understand your door and friends policies.
As for a laptop, don't leave it out of your site. Ever. Not even for a second. If you're extra nervous, you could install some software that "calls home" so you can get its IP. With that, you might be able to term serv to it or something. Consider storing your laptop under your bed when you're not using so your roommates loser friends don't get a bright idea in there heads when they are visiting and you're not around. (They may not steal it with your roommate there, but they may target it for a later date).
Don't underestimate the amount of stupidity your roommates friends will posess.
Oh yeah, hide the DVDs too. That a favorite target. Don't leave your 100 disc wallet sitting in plain view in your car. Don't lend DVDs to people. If you have to, WRITE DOWN who has it (trust me, it's easy to forget). Be careful about spreading the word you have a color printer. Don't let people take advantage of it. You're not an ink charity.