Like the above poster said...it depends on where you ride and park the bike. I have to agree with Sheldon Brown, locking is a strategy. You should check out his article on Locking a bike.

http://sheldonbrown.com/lock-strategy.html

To answer the original question...I use a cable lock. The masterlock Python is my favorite. But I don't leave my bike un attended for too long and the areas I'm in are not high theft areas. Usually I am almost always in sight of my bike. I find U-locks too heavy to carry and overkill for my needs.