I always worry about the same thing.  I think some of the higher end bike racks have their own locking system, but typically I've used one of the thick cable locks and wrapped it around the bikes and the bike rack.  I've done this with a trunk rack, a hitch rack, and a pickup bed rack.  So far I haven't had any problems.

I have this 2 bike Thule car trunk rack: http://www.thule.com/en-US/US/Products/Bike-Carriers/RearDoor/9001-Raceway%E2%84%A2-2-Bike and it is by far the BEST car rack I have ever had. It also comes with a lock. Worth every penny!