U-locks are WAAAAY too heavy! I reckon the most versatile system is a 2m flexible braided steel cable (not too thick, and definitely not one of the springy-coiled ones - makes them impossible to thread!) and a small domestic padlock.
Depends on where you're travelling I guess. If I was going to be stopping in towns I'd maybe take a U-lock, but still be completely paranoid about leaving the bike anywhere outside. In remote areas, I think a light cable is sufficient.