I have Pitlocks on the three bikes I'll ride somewhere and lock. The fourth bike has ordinary bolt-on skewers.

I like the Pitlocks because there are many different "pits", instead of one or two special wrenches (Pinhead, Delta and others), and because they make more than just locking skewers. I bought three sets, keyed-alike, that include a Pitlocked seatpost bolt and headset cap.