FWIW, there was a show on Discovery where a guy breaks into a houses on camera so as to show people how to secure them. The guy broke into one house and two dogs - a rottweiler and a pit bull - followed him around taking treats from him. He made off with all kinds of crap. Sh!t - he even took an 8-ft python.
People's pets might raise a good ruckus to deter potential burglars. But they should be properly trained on what to do if someone does break in. At least that way, the dog will know that it's supposed to take some certain action if someone does - and not just take the intruder to the refrigerator.