I leave the u lock at work. Last year after finding it full of water I thought I 'd be clever and cut two small pieces of bike tube and put a small hole in the middle. They slid on the u part of the lock just above where it enters the bar and I thought served as pretty good umbrellas.
Apparently it doesn't keep out all water (or humidity is heavy enough to get in) because it was frozen shut last week (the first ride for a few weeks).
Any water proofing/ weatherizing suggestions? Extra graphite? oil?