I would probably get the Enchanged Security Package. These vehicles were traditionally near the top of the most stolen vehicles list. This is GMC's press release mentions about the Enchanced Security Package:
"The 2015 Yukon lineup offers an available security system featuring glass breakage sensors, motion detectors and a self-leveling inclination sensor that sounds an alarm if a thief attempts to steal wheels or tires, or tow or lift the vehicle onto a flatbed truck.
When fully armed by the owner, the alarm emits a high-pitched siren that sounds completely different from the vehicle’s horn. The horn also sounds to alert passersby. A battery pack installed in a hard-to-find (for criminals) and protected location enables the alarm siren to operate for a limited amount of time if a thief tries to cut off the main power source.
The advanced theft protection package also includes door shields in the driver’s door, which help block access to those using a “slim jim”-type unlocking device. Additional anti-theft features include enhanced door security, laminated windshield glass and a steering column lock."
For $395 MSRP, why not?