-The best improvement you can get is installing slick tires.  These are 
 tires with very little treads and are usually more narrow.  If you are 
 going to install narrow tires, be sure that your rims can accept them.
-Install a rear rack.  This will help you carry most of your accessories 
 without changing the bike's handling characteristics.
-Remove all removable objects when locking the bike up.  Items such as 
 lights, seats, and bags should be removed, since they will get stolen a 
 lot.  If locking up in some very "bad" areas, remove all quick releases.
-Install fenders to avoid getting splashed.
-Make sure you have a good lock(s).
-You can deface your bike, but it doesn't work all the time.  
 Professional bike thiefs can spot a good bike from miles away with or 
 without the paint/stickers/tags/etc.

Some added:
Peter Greaves [greaves@ccmail.ram.co.uk]
-Look for off-road routes to work if you can. use canals, 
 backstreets, waste ground. just stay off the roads.  If it's a bit 
 longer, at least you get the extra training mileage.
-Don't wear a personal  stereo ; it's too dangerous.
-If you can't be bothered to change tyres (slicks-]offroad) consider 
 a cheap set of wheels for commuting.  You can also experiment with 
 gear ratios too if you go this route.