Luckily I live in an area where bike theft is practically non-existent. The only thefts are those of unlocked bikes in the city, a.k.a. thefts of opportunity.

If I did live somewhere where bike thiefs were prevalent, I'd do u-lock through the rear wheel and frame with a heavy cable lock looped through the front wheel and u-lock. In high theft areas, I'd supplement that with a chain attaching the saddle to the frame and park it next to nicer-looking bikes.