I carried a U-lock on my 3,800 mile tour--the same one I use at home, a big honking Kryptonite. And it wasn't like I was riding a super-nice bike, but I didn't want to be stranded in, say, rural Alberta.

Then again, a big part of our trip was specifically visiting cities, and we used our bikes for transportation while in cities.

I put all my most valuable stuff (iPod, netbook, wallet, important papers) in one pannier that has a shoulder strap, and would often take that indoors with me when we got off the bicycle.

While camping, or anyplace without good poles/racks, we frequently "hobbled" the bicycles by locking the front wheel to the frame. Yeah, people could still steal the bikes if they really wanted to, but it would be a tremendous pain the ass.

Call me paranoid, but the weight was worth the peace of mind.