^^^^^^^^^^^^^agree, the U lock generally is less versatile, but is harder to kill. Both chain and u-lock would be outstanding protection, if you really are serious about keeping your bike locked out and safe.
Base of the Rocky Mountains, Canada. Wonderous things!
2010 Cannondale Hooligan 3
You need two different sets of tools to defeat each kind. The tools thieves use on a chain aren't effective on a u-lock, the reverse is true. Taking both ensures that anyone packing only one flavour probably won't be able to beat both locks.
If I were to choose just one out of the two, for whatever reason, it would be the U-lock. Power tools and jacks are not inconspicuous. Chains are easier to cut with more discretion.
As a side note, are you using any really valuable components (peddles, seat, etc.)? If so, a small lock for each one might be in order if your leaving you bike out for more then a couple hours. It pretty easy to steal a nice carbon seat.