Any bright ideas?
Well, you could leave a flaming bag of dog poop on her front porch, ring the doorbell, and then run.
Or I suppose you could go to the police. Technically, what she did might be considered burglary (it looks like she broke and entered with the intent to commit a theft), which is more serious than just breaking and entering. Depending on the circumstances, that could be a felony. Not only would you get your stuff back and gain a renewed sense of personal security, you could also send your ex to the slammer for a few years, and there's little that you can do in this world that can beat ruining someone's life for pure egoistic gratification.
You should be aware, however, that police and prosecutors are usually very reluctant to get involved in what amounts to a personal quarrel. If the stuff that she took was expensive or irreplaceable or had some enormous sentimental value to you, then tell her you'll go to the police unless it's returned. If it isn't, then go to the store and buy some new stuff, change your locks, shake the dust of that relationship from your sandals and forget about her. Sometimes, in very rare cases, it's true what they say: the best revenge is living a good life.