I use one for convenience. When I'm out for a road ride i have one in case i stop at the local coffee or ice cream shop and it isn't out of sight for more than a moment. It stops the 'roll away' theft. If someone is carrying bolt cutters, they're probably carrying an angle grinder and going to get it one way other the other.

I'll sometimes carry the U-lock on the mountain bike, but honestly there's no point where i am. I don't commute by bike and my rides either begin and end at my house or at my car.