The best, strongest lock you can afford. Cable locks keep honest people honest; U-locks are more likely to slow down a thief, or make him go on to a less well secured bike.

If you have expensive, valuable components, secure them properly. I use Pitlock locking skewers to secure generator hubs, and a Pitlock threadless headset cap for the same reason. There are also secure-fastener binder bolts to protect leather saddles.

A low-tech way to secure bolted-on components is to melt some parrafin into the bolt head hexagonal sockets. It's a PITA to scrape out, but you can use a heat gun to melt it if you need to remove the component. (Thieves don't tend to carry heat guns.) It's not high security, but it's cheap.