Andrew - I don't leave it at the station
I travel from East London to way out past the western edge - I have to ride from my flat to Waterloo station, but from Waterloo out I'm allowed to take the bike on the train as it's against the rush. THere's a bike lock area right in front of reception at work, so they're mostly watched all day (although one did get stolen earlier this week in the middle of the afternoon). My trip home is the same - as I'm heading back into Central London against the afternoon rush, I can take my bike back on the train to Waterloo and then ride the rest of the way.
There are always loads of bikes at the bigger stations. I've heard/read that if you use two different types of locks (I use a big D-lock to lock the front tyre to the frame and the frame to the bike rack, and then a cable lock to lock the back tyre to the frame) it's a lot safer - apparently different tools are required to defeat each type of lock, and most thieves don't carry both. Plus, two locks makes the bike less appealing than all the others with just one lock on.