I always leave my bedroom window open. Mostly because I forget to close it, but also because I have a terrible fear of being locked out. But in a neighborhood like mine, where the houses are very close together and the neighbors are all nosey, I don't worry about it... a burglar would most likely kill himself trying to get across my room, messy as it is.
Our house has been broken into twice, and both times the burglar strolled in through an unlocked door, once while we were outside in the garden, once when we had run out to the store for fifteen minutes and forgot to lock up behind ourselves. Like slobone says, even the smallest of difficulties will deter the average household thief, who prefers unlocked doors and ground-floor windows concealed from the street and neighbors.
Of course, if you have enough goodies inside your house, or appear to have enough goodies, a thief will get in no matter how well you've locked up. So there's not much point in worrying about it. Nevertheless, if I were you, I'd beef up the lock system as an added deterrent, and make sure one of the neighbors has a spare set of keys, just in case you lock yourself out again.