Do these guys steal your game scripts ?
We've never been hacked to this level, not saying it will never happen (I'm not as arrogant about security as Chris). A good server company and knowing what software you have installed on your server (not including your game) is the best way to prevent this.
Do these guys change values in database to get virtual money ?
This is where I have been hacked the most. When I started writing games the term Script Kiddie only applied to IRC kids, sql exploits were known but rarely talked about. Since then the term script kiddie has been used for a lot of various low forms of hacking which now include SQL injection. Now that I always use either ADODB or my own DB wrapper neither has been injected yet.
Do these guys hack your admin account and shut u out of the game making it his own ?? (generally this doesn't refer dedicated servers)
We've had someone get into our admin panel via a SQL injection once. On our games you cannot turn the game off so the only thing they were able to do is view and change values, which they could of done via the DB but the admin panel made it easier for them.
In the end though it really comes down to how competitive is your game, what is your community like on the game and how big your game really is. We've had games up for years with no one even attempting to try and hack the game. That doesn't make the game is secure all it means is it's not worth the bother. Other games that are highly competitive seem to attract script kiddies quickly as they don't want to actually "play" the game rather just try and hack it to get the best player stats.