In Chi-town, I would probably think that a U-lock backed up by a auxiliary chain is the bare minimum for theft reduction. Use the U-Lock to secure the bike to the rack/object, and the chain to take care of the accessories and drive components. Heck, I'd even run the chain around the rack too, just in case the U-Lock is compromised. Then again, I learned my theft lessons in Detroit... they don't care about what lock you have or how much damage is done when stealing a bike up there, because they are simply going to scrap the bike.