I always lock up 4 points - front wheel, back wheel, frame, and seat (seat is perma-locked and is only unlocked when I'm changing it or something). Whatever goes through the frame (which can also go through the back wheel at the same time) must be at least a U-bolt or better. I went through many bikes before I learned that. Have anything less than a U-bolt on the frame, and they'll take the whole bike. Have any of the other parts unlocked, and you'll come back to a missing part. Then you have to leave the bike for a longer period while you replace the part, which means that when you come back to it with the new part the rest of the bike will be gone. So 4 points locked, with the main lock being U-bolt or better... no matter what the bike or how long you're leaving it for. I don't ride expensive $7,000 bikes either, but my cheap 3-digit bikes will go just as quickly. With all the different parts locked up, it also offers a much better deterrent because the thief will have to go through multiple locks to get the bike where it can be ridden away. This is a better deterrent than just one good lock, I think.

Of course, I do live in the city too... Generally, besides the seat lock, I need to carry either 2 U-bolt type locks, or 1 U-bolt type lock with 2 cables or 1 extra-long cable. It is a lot of weight unfortunately, but I ride a touring and commuting setup, so that's not so big a deal to me. My practical usage also dictates a strong need for this setup as well, though.