Richard Ballantine's 2001 book "Richard's 21st-Century Bicycle Book" has a lengthy, superb discussion of protecting your bike while parked, or riding, or at home. Buy his book.
Major points Mr. Ballantine makes:
-don't buy a lock with a round key - too easy for lock picks (duh) (This was three years ago)
-in a city like NYC, use three different locks, a hefty u-lock, a hefty chain, and a hefty cable, locking the frame and both wheels to two separate things that are both stronger than the bike locks
-park where the bike is seen, such as next to the theatre ticket office, not in the alley behing the theatre
And, my OWN stategy:
-ride old, dirty bikes, and park next to new, shiny, clean bikes with $5 locks