Knowing HOW to use a lock is as important as the brand of lock. About 90% of the bikes I see locked up in my neighborhood are NOT locked correctly. A U-lock needs to be attached to the rear wheel, just behind the seat tube.That lock needs to be attached to a sturdy steel pole set in concrete, not a flimsy bike rack, held together with two bolts. A second lock (which can be a "heavy duty" cable lock) secures the front wheel to the frame. Lock the bike where a crook is gonna be seen. I lock up next to the ticket booth at the movie theatre, not in the alley behind the theatre.
The best "cheap" lock is the OnGuard Bulldog U-lock. About thirty bucks. The "mini" version works well for road bikes and hybrids. The best expensive lock is the Kryptonite New York 3000 U-lock, for around seventy bucks. An eight pound Kryptonite chain is as strong as the four pound New York 3000. But, who wants to lug around an eight pound chain?