I know how it feels to be burgled, it makes you feel sick inside for a long time knowing a stranger has been in your home and taken personal items.
Im so glad for you that they didn't get inside, it must have been really scary getting woken up to that!
Worse thing I have woken up to was about a year ago when the post office below us was ram raided by a car. We woke up to see a car driving in and out of the front of the shop and men with tights on there heads getting out of the car! Very scary!