I live in a city with a very high rate of bike theft. So...

My main lock is the Kryptonite New York Standard U-Lock. I used to use a Kryptonite New York Fuggedaboutit mini U-lock, but the regular size U-lock is not as heavy and easier to lock up with than the Fuggedabouit (if a little less secure). I also have a much lighter and more portable ABUS Mini 140 U-lock for when I'm only going to lock up for 5 minutes or less (or when I can keep my eyes on the bike while I'm off) and don't want to lug around the heavy Kryptonite lock. I highly recommend the ABUS Mini 140 unless you're going to be locking up for 8+ hours a day in a city like San Francisco.

I also use a cable to secure my wheels because I use Quick-Release Skewers.

After my beater bike had its crappy saddle stolen, I bought a small chain to tie around the Brooks B-17 saddle and frame of my Surly Long Haul Trucker. I sold off the beater bike couple of months ago and now use my LHT as my main ride, so of course I'm going to use the best locks I can afford. If bike thieves are willing to steal a cheap POS saddle, I'm not going to take any chances with my expensive Brooks.

When I used to live in a city with a much lower rate of bike theft, I was comfortable using a decent ABUS Millennio 895 Phantom cable lock. I didn't need to use anything else, and if I was feeling uncomfortable about where I was going to lock up, I'd try to keep the bike within view so that I could see if someone was trying to snip the cable.

*Knocks on wood* I have never had a bicycle stolen in almost 30 years. I did have a saddle stolen (as mentioned above), but once I started locking up my saddle on top of locking up the rest of my bike, I've never had anything stolen, period. And I lock my bike up on the street bike rack right outside my workplace for 8 hours a day.