Old style u-locks have the key end protruding a few inches from the U. This video shows how a thief can fit a pipe onto the bar and pry.

You can purchase a pipe Tee fitting and put it on when you lock it. It's heavy though.

Next thieves figure out that you can hammer a bic pen into the lock and and break it.

So when you lock, put the tee-fitting on and position the lock so the key end is pointed down or somewhere where it's difficult to put more than your hand into.