I have one on my Cadillac Catera and love it. Whether it was after market or not, I don't know.
Mine automatically locks the doors itself before it starts. It also has, of course, a door alarm, plus the engine shuts down if the car is placed in drive without the key in the ignition.
My only issue was that I started it from remote one day, and it died. I again tried to remote start it, and again, it died. ARRRGH! I finally just went out, put the key in and started it manually so it could warm up, then went back into the house. Not a good move. On mine, at least, if you remotely start it and it dies, it will try 2 times to restart without you retrying. I didn't know this. I started the car manually, but it was still in restart mode which automatically locks the cardoors. I was locked out. ARRRRRRRRGH!
Other than that, I love it.
Just remember...like someone mentioned: if you leave the a/c on when you get out, then the a/c will come on when you remote start it. Same with the heat. Be sure to leave the setting wherever you want it to be.
good luck!