Generally if you want more security, you have to be willing to carry more weight. I believe the most secure method is probably a U-lock in combination with a hardened steel chain. The chain itself will weigh 10lbs and the U-lock another 3-5, so a very heavy solution.

If you have the cash I recommend Pittlock skewers in combination with a U-lock. Pretty secure and fairly lightweight, although you lose the absolute convenience of quick release skewers for fixing flats. There is no perfect solution. No matter what you chose you end up making trade-offs.