It's a good thing bike thieves are stupid. If I were a bike thief, I'd walk around with a couple of Allen wrenches and strip frames of their components in 20-30 seconds/each. Components are easier to hide, easier to transport, almost impossible to trace... and the much-hailed U-lock does nothing to protect them.

I'm with raybo and staehpj1: in small towns I use a small lock or don't bother while in large towns I do everything possible not to leave the bike unattended. Trusting any lock is a recipe for disappointment...