Velo-Orange has a pseudo-locking skewer on sale for $12. It takes a special allen wrench with a hole in the tip. I put a pair on my beater bike today (replacing the quick-releases and hose clamps I've been using.) If your wheels aren't all that valuable and you take the time to lock up with a u-lock + cable every time, that might work for you. Otherwise, spring for Pitlocks or OnGuards.
Edit: V-O only has skewers with 135mm rear spacing. More sizes will come later.