I've registered my bike here -- http://bikeregistry.com/ -- as well as with the local police.

Bikeregistry.com is free to register (not to be confused with the expensive bikeregister.com) and sells security label kits for $1 plus postage. The labels simply give the bikeregister website and are very hard to remove -- they break up and take a long time to get off. The idea is to make your bike less attractive for a quick sale.

I also filled seat and stem boltheads with lead solder -- just tapped it in with a hammer and punch -- and use velo orange security skewers plus a pinhead headset bolt.

I've modified a Magnum u-lock by encasing it with aluminum pipe. The weight increase is modest but it makes the lock grinder-resistant as the soft aluminum loads up the grinding wheel and destroys it. The added thickness makes it hard to grip or cut with bolt-cutters. I'm also looking to coat it with kevlar fabric to make it hard to hacksaw. It may seem excessive but most u-locks apparently can be cut in seconds with a battery powered grinder so they really offer very little security.