Get Pitlocks (wheels, head, seatpost). Small price to pay for peace of mind. U-lock? Get a Kryptonite New York or Evolution model, whatever fits your bike & the way you lock it best. I would recommend getting one that has a double bolt lock (meaning, it locks both arms of the U-lock). The NY U-locks weigh in around 4lbs, which is heavy, but if you're used to carrying an 8lb chain, it'll be a big improvement.