http://m.youtube.com/watch?v=pITRfEHKyUw

The lock in this video is a cheap crappy Master lock, and a bottle jack failed to do it. If you're buying a high-end lock (basically Abus or Kryptonite), I don't think you have to be concerned about a pry bar or a jack.

I also have the Kryptonite Fagghedaboutit Chain, which I leave at work. You wouldn't want to carry around that monstrosity, but are you locking up in the same spot every day? If so, leaving a second lock on site is a good option.