The Lojack is what is called the "aftermarket" in the automotive sales world. This is just one way a dealership will try to rip you off when purchasing a new (or used, for that matter) vehicle. When I say "rip you off," I'm not saying that the product doesn't work as advertised, as I'm sure it does. What I'm saying is, they mark up the price on such items to the point where they are making a ton of money. For instance, when I worked at a dealership, our aftermarket department would talk to the customer and suggest they purchase three products. The products were paint sealant, undercoating, and Scotch Guard of the interior. The sales person would tell them all of these products would normally cost $1400, but "today only we are running a special of $800" (or some such number) ... and of course this cost can be rolled up into the financing of the vehicle. The actual cost to the dealership? $80. Anything they put on at the dealership will have a HUGE markup.
As far as how Lojack works, I'm sure it works as advertised. I've never heard of it doing otherwise ... though I've never talked to anyone who has ever had to use it either. If your vehicle is stolen, you contact them, they send out a signal to the Lojack, this activates the Lojack, which then starts sending out a signal as to where its location. The Popo can then track it and find it.
The only alternative I can think of to Lojack would probably be Onstar, which is only offered on GM or GM partnered vehicles (I think Honda is one?). There may be some others out there. Onstar can be tracked by the police, but has an added benefit of being able disable the vehicle so it cannot run, which makes it a lot easier for the police to catch up with the vehicle.
The only way to get Lojack'ed is at a dealership, though there may be installers willing to do it for you. The Lojack installer will be called in and put it in any of several locations on your vehicle, unbeknownst to you. You will know it's there somewhere, but you'll not know where. This is part of their deal so as nobody really has the exact location on your specific vehicle. This helps with the theft deterrent portion of Lojack.
It's up to you whether you'd have one installed. The biggest issue you need to look at is whether your area warrants having something like this. If you live in a high crime neighborhood, it may be advised to have it installed. If the car is going to be housed in a garage at night inside of a gated community, it's probably not going to be worth it.