With antilock skewers you actually do not even need to lock your wheels and can concentrate on just locking your frame. The kind by Pitlock is viewed as the best, followed by Pinhead.

If you are in an area where bike theft is rampant, as is the case in many college campuses, then you might also want an anti-theft headset lock, and an anti-theft saddle lock as well. The saddle lock is recommended if you have something like a nice Brooks on your bike.