I use one of these u-locks. It's just the right size to fit around most objects without leaving room for thieves to easily get at it. I lock through the rear wheel inside the rear triangle like Sheldon Brown recommended. It also comes with a cable lock for the front wheel if ill be locking it up for 20+ minutes. To be honest many of the cable locks linked in this thread look just as bulky as a small u-lock which offer significantly more protection..



http://sheldonbrown.com/lock-strategy.html