Both U-lock and heavy duty cable key-lock, I use both when leaving my rig in the garage. I use a medium security combination cable lock in low-crime areas, where I'm not away for more than half an hour. If it's a bit dicey, I'll bring the U-lock and cable along with the combination lock cable, for peace of mind.

Here's a new offering from ABUS, they will have a booth at the Sea Otter Classic, so I hope to go over there to have a look at them:

http://lockitt.com/CablesArmored.htm#1050