I guess change door to a steel faced one to help prevent drilling or solid hardwood??
Also reinforce door frame with a few extra frame bolts if not 100% solid.
Add the side bolts that fit recesses in door frame to resist door being kicked in.
As for window, steel bars bolted on inside securely, so visable from the outside so hopefully putting off entry this way, but not making shed look like a prison. Maybe possible to retro fit them into brickwork if you have the enthusiasm to take out bricks and cement in bars and refit bricks? Also fit plastic film over glass that prevent glass shattering thus making it nastier to get through window.
Ground anchors are great but make sure they are fitted in a way to prevent levering them or locks out, ie close to wall under bikes, also fit one on wall again behind bikes where access with bolt croppers, crow bar would be difficult.
Alarms/CCTV great if someone is around to respond to them, HD recording so if the worst happens you may get some ID on the scoundrels.