A the minimum I would use a good U-lock to secure the rear wheel and frame (or just the rear wheel inside the frame) to a secure object and a long 10mm cable to secure the front wheel and seat.
Your frame is probably the most expensive part of your bike followed by the rear wheel so these two should be secured well. The seat and front wheel are less expensive but are usually only attached with a quick release making an easy target. Using a decent cable to secure these discourages the quick hit thieves. If you are in an area like NYC that has a very high bike theft problem then you may want to have two independent locks. This gets to be pretty heavy so if you usually lock up in one place it is suggested you leave your lock at the location you lock up.
I think in many cities the problem is not nearly as bad and a lesser (lighter and less expensive) U-lock like an Onguard Bulldog or Kypronite Std may be sufficient.
Craig