Not all U-Locks are the same though. That Kryptonite Fuggidaboutit is what you want if you are in areas with lots of bike thieves. Lock the frame to something solid with the U-lock, and run cable thorugh the tires and lock the ends onto the U-Lock.
I was in Sacramento this last week and saw first hand that a bike thief will go for:
1. A cable lock--only takes about 20 seconds to hack through with bolt cutters..
2. They will go for the nicer bike first--this guy went for the Gray Fisher tied up next to my old Schwinn. Unfortunately for him, I caught him at it, and then the owner showed up. The thief got run off with some lumps for his trouble.