im a strong proponent of a cable lock used in conjunction with a U-lock.

although i dont always practice what i preach. if im stopping into the deli to pick up a sando, just the U-lock. if im leaving my bike for longer than 15 minutes, then i definitely use both locks. friends give me sh!!t for it but they can wait an extra minute, the beer isnt going to run out at the bar dude.