Bike theft is fairly common, but most bikes that are stolen are the result of an inadequate locking strategy. For example, locking your bike with a cable lock. All cable locks, even the 'armored kind', can be defeated in under a minute. They are fine if used in conjunction with Ulocks or hardened steel chains (the kind that weigh 10 lbs), but should never be used alone unless you are popping in to a fast food place or cafe, and can keep an eye on your bike from inside.

People that have bikes stolen often leave their bike locked overnight or for hours with a cable lock. That is a recipe for disaster. In general, the longer you leave your bike unattended, the more solid your lock-up strategy has to be.

If you have the cash, then you can buy something like 'Pitlock skewers', which are very secure when used in combination with a Ulock and weigh almost nothing. The only downside is cost, and the fact that you lose your 'quick release' skewers. The latter is generally not an issue for non-racers.