The Caesar cipher was a clever invention back in its day, but like all single substitution ciphers, you can crack it fairly easily if you either:
1) Know the language being encrypted. Every language has known frequencies for each character, as well as frequencies in which a character begins a word, ends a word, is doubled, and so on.
2) Have a "crib". During World War II, the Allies broke the Enigma messages each day in part because the German military was so rigid in its rules and regulations. If you know "Heil Hitler" will usually appear in the same part of the message, that helps you break it.
By the time Enigma came along, newer techniques were long since in use, such as ciphers whose rule changed for every letter.. For example, you would pick a phrase and line it up (repeating as needed) above the characters of the original message. Each of the chosen phrase letters told you how much to shift the "clear" message characters. The Enigma carried this to an extreme by using three rotor wheels AND a plugboard that not only encrypted each letter four times, but changed the rule for each and every letter.
Using early computer technology called "bombes", the Allies still managed to crack many Enigma transmissions. Modern techniques have used the "public key" cryptography, which requires advanced computers to crack as it involves using the product of two huge prime numbers as the key. Even more recently, "quantum key cryptography" is in development, which uses the fact that any eavesdropper will instantly and automatically turn the message into garbage. This prevents not only the interception of the message, but the instant notification of the intended recipients that the eavesdropping is occurring.