a U-Locke AND A cable. I just got one the other day as a set.

Basically, it's a standard U-Lock and a separate cable with eyelets on each end. I use the U-Lock to lock my wheel to my frame, and then the cable goes around whatever I'm locking it to. The cable doesn't have a lock on it. The U-Lock goes through the eyelets of the cable, so you just lock the U-Lock, and that's it. When you take it off, you just unlock the U-Lock and everything comes out.

If you already have a U-Lock, you can get the cables with the eyelets separately and in many different lengths. My bike shop had a whole wall of cables in various lengths and thicknesses.