We have loads of video projector systems 
50x540x20cms each
and we need to find a way of protecting them from THEFT.
Whats the smallest GPS anti theft device or similar?
Needs a reasonable cost
We are in Italy

I am unsure if the gps alone is sufficient.  Actually you need to have
a way of wirelessly
transmitting the coordinate information from the attached gps receiver
inorder for it to
be useful as an antitheft device.  Again the limitation in the area of
coverage is due to
the wireless signal that you could track.  Normally the gps anti theft
devices have a
service fee for the wireless service provided to track the location of
the equipment.
I am not sure if such a service is available in your area.  The other
alternative(and a low
cost one) is to go with conventional rf beacon transmitters(used to
track the trajectory
and to recover model rockets) and a good mobile direction finding
antenna/receiver.
To deter theft, you could also attach wirelessly activated
motion/vibration alarms that
when activated will produce a loud noise and scare away the thief. 
These are just
few of the suggestions that I came up with.  If you are more specific
of the requirements
and the situations you want to address, a better system could be
devised.

A GPS reciever must have a clear view of the sky in order for it to
determine its location. Because of this, GPS theft tracking is really
only practical for vehicles. You probably want some sort of radio
tracking or deterrent device as mentioned above.