I ride an expensive bike in NYC and thus felt obliged to get a very good u-lock that thieves are less familiar with:
ABUS U-Lock 540/160HB230 (11161)
80% of the times I park indoors or in a garage, but when I need to park outside I always do it in a busy street and place the lock between the frame and rear wheel to the post. So far so good.... and if something happens its completely insured.
Ah, and for the front wheel and components I use this:
Atomic22 - The ultimate bicycle security solution