Catalytic converters are exhaust emission control device that convert toxic gases & pollutants in exhaust into less-toxic gasses by catalysing them into less toxic, & less smelly, gasses. They are situated immediately after the exhaust manifold. 

Why they are valuable

• No hassle to steal
• They contain precious metals (platinum,rhodium,palladium)
• There's a thriving ready market for illicit converters
• They don't ground a car after removal

Effects of removal on the car

• Change is sound, The car will sound like it has a ripped or performance exhaust
• Terrible fuel efficiency noticeable immediately 
• Nasty, pungent smells in the cabin
• Oxygen sensor will light up
• Sometimes Check engine light

Measures to prevent theft

• A sensitive car alarm
• Parking the car in well lit and secure areas
• Welding a cage or rod connected to the chassis
• Replacing the bolts attaching with lockable or complex head bolts
• Skid plate
• low ground clearance 

SOURCE: Saruni the Traveller @GSaruni