Kryptonite "New York" U-locks are quite good. If you're in a sketchy area, maybe think about a U-lock with a cable lock as a backup; that way, potential thieves have to bring more tools. However, and it must have already been said here, if a thief really, really wants your bike, they'll figure out a way to get it. That's where insurance comes in handy. Personally, I bought a beater, and replaced some of the components, so it still looks like a beater at first glance, but still rides and shifts nice. I also have a newer Kryptonite Evolution lock, one that can't be picked with a ball-point pen. (I'm pretty sure, though, that anyone who's taken a locksmith course at a community college could still pick it in about 30 seconds if they felt like it.)