I rarely check luggage on the way to my destination. I'll do what it takes to bring carry-on only.

My rollaboard is expandable, so I'll then check it on the way back sometimes. When I do, I'll only include the clothing I wore on the trip. I intentionally don't fold it and just stuff it in there. I hope that this would deter a would-be thief, but I'm probably just fooling myself. Oh well, at least if they steal my bag, they can't sell my clothes without a dry clean!