Do you want to make your home more secure, or do you want a massive project? Which is the priority? If it's security, just buy an alarm from a source like homesecuritystore.com. The cost of your sensors will dwarf the cost of the control panel in any event (unless you're planning to homebrew those as well); a good wired panel can be had for around $100.
If you really just want a project, alarm sensors are generally designed to present as normally-closed switches. When they open, the sensor is faulted (the door's open, smoke was detected, etc.). You should be able to easily connect these to your Arduino on the digital inputs.
Devices that need power (sirens, smoke alarms, PIRs, etc.) generally need 12 volts, so you won't be able to power them directly from your Arduino. However, very few devices intended for use with alarm systems draw much power at all, as alarms are designed to be able to run off battery power for > 24 hours, making low power consumption a critical design goal.