http://www.sheldonbrown.com/lock-strategy.html
http://www.sfbike.org/?theft_locking
** Watch the video - - it's a hoot (and informative) **
and . . .
http://www.youtube.com/watch?v=2ZDq1vkiZwA&NR=1
For locks, I would recommend (as did Zephyr)
Kryptonite or
On Guard. I like On Guard because they actually have an anti-theft offer that covers part or all of your loss (depending on the lock and the worth of your bike) if their lock is breached.