U-lock/chain combo. Some people prefer Kryptonite, some prefer On Guard. There are lots of threads on here already--do a search, see what you prefer. A smaller U-lock is lighter, but if you don't mind weight, then the Kyrptonite Fahgettaboudit looks pretty serious--and a big part about good bike locking is showing any potential thief that it would be too much work to try to steal your bike.

Once you do get a lock, watch these videos:
http://www.streetfilms.org/hal-grade...-bike-locking/
http://www.streetfilms.org/hal-and-k...-bike-locking/
http://www.streetfilms.org/hal-grade...final-warning/