I was coming out of the grocery store a couple nights ago and also saw a Giant MTB with only a U-Lock through the rear wheel. There was plenty of room on the rack, but I guess the owner didn't see it that way.

I always lock my bike to the end of the rack. U-lock through the rear wheel and around the seat tube. When I'm downtown at a bar or something, I also have a thick cable that I loop through my front wheel.

When I had my cheap old MTB, no one gave my bike a second look. Now that I've upgraded to a road bike (and a nice looking new one at that), I'm trying to improve my anti-theft measures.