My aunt sent me this one, and I liked it:
'Jesus knows you're here.'
He nearly jumped out of his skin. He clicked his flashlight off, and froze.
When he heard nothing more after a bit, he shook his head and continued.
Just as he pulled the stereo out so he could disconnect the wires, clear as a bell he heard:
'Jesus is watching you.'
Freaked out, he shined his light around frantically, looking for the source of the voice.
Finally, in the corner of the room, his flashlight beam came to rest on a parrot.
'Yep', the parrot confessed. 'I'm just trying to warn you that Jesus is watching you.'
The burglar relaxed. 'Warn me, huh? Who are you?'
'Moses,' replied the bird.
'Moses?' The burglar laughed. 'What kind of people would name a bird "Moses?"'
'The kind of people that would name a Rottweiler "Jesus ..."'