You can easily break into some older sliding doors by simply popping them off of their frame, even when locked. It's harder to do that with newer ones, but you should still take extra precaution to secure them since they can be an inviting entry for burglars. Simply take a strong dowel, steel bar or two-by-four and slide it into the back groove. That way, even if people can pick the lock, the rod stops the door from sliding back and opening.
Although you should always lock your windows before leaving the house, you can install a simple pin or nail into to the frame to stop it from raising more than a few inches. This will add an additional layer of security in case someone pops off the screen and you have left the window unlocked. If you have a wooden window frame, you can drill a hole at your desired height above the sash, where the top and bottom window meet. Then, insert a thick metal pin or a sturdy nail into the hole. You can remove the stopper if you want to open the window completely and put it back in for security.
Also remember to check window air conditioning units. If you can jimmy the window up from the outside, add a stopper to that frame.