It's worth it to have a good lock. I have a Krypto NY Fagetaboutit.
http://www.amazon.com/Kryptonite-Fah...ef=pd_sbs_sg_4 Yeah, it's heavy as hell. Carrying it in my bag makes it seem even heavier, although it's not too bad on my waist in a holster
http://fabrichorse.com/index.php?page=lockholsters
Just as important as having a decent lock is knowing how to lock up your bike. I use the Sheldon method:
People tend to buy the big clunky U-locks because they don't know how to use them properly. A U-lock should go around the rear rim and tire, somewhere inside the rear triangle of the frame. There is no need to loop it around the seat tube as well, because the wheel cannot be pulled through the rear triangle.
Some will object that felons might cut the rear rim and tire to remove the lock. Believe me, this just doesn't happen in the real world. First, this would be a lot of work to steal a frame without a useable rear wheel, the most expensive part of a bike, after the frame. Second, cutting the rear rim is much harder than you might think. Since the rim is under substantial compression due to the tension on the spokes, it would pinch a hacksaw blade tight as soon as it cut partway through. Then there are the wire beads of the tire, also difficult to cut.
In addition to that, I throw my front wheel in there with it., locking up the rear wheel, front wheel, and stationary object all together with one lock. Sheldon says that it's unneeded to take the bike apart, but I can take my front wheel off in 2 seconds. That means someone else can too. I don't trust a cable to hold it down. Anyway, that way I only have to carry one lock around. I think that an Evo Mini (also Kryptonite) would probably also work just as well, and be much lighter. I also like the Krypto chains, which you can wear around your waist for extra street cred points, though I've never owned/used one.