I have PinHead locking skewers and I've been very happy with them. I got a matched set for my wife's bike so we only need one key between the two of us. I can order headset and seat post locks as well and all with the same key.
in a high crime area it deters but as the old the saying goes if they really want they will get it. I find it is enough of a deterrent in most of the places I go that I don't worry.