I have my wheels handbuilt, so I don't have any recommendations for inexpensive pre-built wheels. (If you had the Poprad Disc, I have an old OEM wheelset.)
But it seems like a good time to remind folks that, unless you're a racer with a car following you stocked with extra wheelsets, quick-release skewers are not your friend. The first thing I do with any bike that's going to be locked anywhere is replace the quick-release skewers with either a bolt-on or locking skewer.
- Nashbar Bolt-On Skewers are inexpensive and at least makes a thief find a 5mm. $15 per set regular price, $10 when on sale. I use them on my bikes that will only be locked for a few minutes while I run errands.
- Delta Hublox use a special wrench you can keep on your keyring. $30 list price. Downside: All sets use the same wrench.
- Pinhead Skewers also have a special wrench for your keyring, and have the same downside as the Deltas. Upside: They also make locking seatpost bolts and headset caps. In addition to selling under their own brand, they private-label for others. On-Guard and Trek locking skewers are made by Pinhead. Prices vary by set and brand.
- Pitlocks have 256 different special wrenches (which they call pits). Sets are available keyed-alike (special-order). They also make locking seatpost bolts, headset caps, V-brake bolts, disk-brake bolts and dynamo headlight bolts. (I have two sets that use the same key and include skewers, seatpost bolt and headset cap.) Available in the US at Peter White Cycles and the US & Canada at Urban Bike Tech. You'll need to visit your local hardware store to buy a Clevis Pin ($1.19 at my local ServiceStar) to carry the "pit" key on your keyring.
Thanks for the advice, I will definitely be putting bolt ons on whatever wheels I do purchase. I honestly thought someone would just steal my bike rather than my wheelset, but live and learn I guess.