A burglar broke into a house and shined his flashlight around looking for valuables.

 He picked up a CD player when a strange, disembodied voice echoed from the dark saying: 'Jesus is watching you.' 

He nearly jumped out of his skin, clicked off his flashlight and froze.

 When he heard nothing more he continued.

Just as he pulled the stereo out he heard: 'Jesus is watching you.'

 Freaked out, he shined his light around frantically. Finally, in the corner of the room his light beam came to rest on a parrot.

 Did you say that?' he hissed at the parrot.   'Yep,' the parrot confessed, then squawked, 'I'm just trying to warn you that he's watching you.'

The burglar relaxed. 'Warn me, huh? Who in the world are you?'

 Moses,' replied the bird.

 Moses?' the burglar laughed. 'What kind of people would name a bird  Moses?'

 "The kind that would name a Rottweiler Jesus."