Never carry anything that has no easily argued non-weapon purposes (i.e. a lead pipe while you are biking.) That can be construed (and often is) as carrying a concealed weapon. If you ever are in a situation where you end up using a legitimate tool as a weapon, be VERY careful what you say.

Situation: you are biking along and someone jumps out of their car and tries to attack you. You reach into your back pocket, grab your Ulock and defend yourself with it. Police arrive and ask you what happened and why there is some chump lying on the ground next to you in a pool of their own blood.

*So here is the standard warning that you should say, "officer, I understand that you want to get to the bottom of this, but for my own protection I choose to not speak until my lawyer is present."*

If that's not going to happen, here are some guidelines.
Officer: So why did you have the lock in your back pocket.
Wrong Answer: In case some guy comes along and I need to defend myself.
Right Answer1: Because if I put it on my handlebars it makes too much noise.
Right Answer2: Because it's much quicker locking up my bike that way.
Right Answer3: Because I always wanted to be a cool msngr, and they do it that way.

In the first answer, you are suddenly carrying a concealed weapon and are under arrest. In the others, you are legitimately carrying a necessary tool and cleverly using it against an unprovoked attacker.

Of course, none of this is to be construed as legal advice...I am after all, a bike messenger...this is just info culled from friends, associates, and some personal experiences.