It's a real concern and danger, especially with toddlers. Our childproofer wouldn't secure them because of liability concerns. For safety, it's best to leave windows closed and locked at all times, although you never know when someone might open one and forget to close it (guest, housekeeper, etc) - as happened with Eric Clampton's son who fell from a 53rd story window a janitor had left open.
Childproofing locks are OK but tend to be on the flimsy side - for windows, it's better to look for heavy-duty solutions. I consulted with a locksmith and a safety expert from Safekids and they offered the following:
* For windows that slide from side to side, the locksmith said there are window locks you can buy at Home Depot with a key. However, in the event of a fire, these can be dangerous if there is no easy access out. He suggested getting the type with a thumb screw, and placing one lock on the bottom of the sill and one on the top track. "PRIME-LINE (SLIDE-CO) U 9982 WINDOW LOCK WHITE PK/2" - amazon sells them but S&H is very steep so look for them in your local hardware store.
I use these all over my house and have them secured about 4 inches to the left of the window, to allow for ventilation but not enough for a child to put their head through.
* Window guards - http://www.angelguards.com has the widest assortment of window guards made of durable steel, to fit all sizes and types of windows and to keep children safe. These are not permanently secured - there is an emergency release in case of a fire. A video on the site shows how it works and how to remove it. One Step Ahead offers one of their models with several dozen parent reviews:
http://www.onestepahead.com/catalog/product.jsp?productId...
Window alarms are sometimes effective but can also sound false alarms at ear-piercing levels; others stick to windows only to fall off when the temperature drops below freezing. Check out amazon reviews before buying.
For sliding glass doors, you can use a charley bar or a security lock (Master Lock 265DCCSEN Dual-Function Security Bar) and two of the locks mentioned above. Good to travel with too, for childproofing your hotel room.
Finally, these products, as well as 38 others recommended by several experts, are on my amazon listmania:
http://www.amazon.com/Child-proof-safety-101-best-product...