I would use some ABUS locks ideally something keyed a-like either in the Plus or X-plus series. If I am looking for a lot of protection I would go down to the local ABUS dealer and order the
Granit Powerchain and have a serious chain that can be plus keyed (through some difficulty as it is a longer key number) that should make it pretty hard for someone to steal. Granted it is not a lightweight solution it is something if you are locking up in a building or locking up in the same place all the time could be left.
I would also recommend some wheel locks (ABUS Nutfix, Pinhead or Pitlock). You could also lock up other components using the Pitlock system.
Make sure you are locking in very visible public places that are not places where people go and are gone for long periods like subway and train stations.
Lock the frame and rear wheel if nothing else and make it so the bike cannot be flipped over.
The item you are locking to should also be secure, a lock is only as good as the weakest link so chainlink fences and things like that are terrible.
Try to avoid fairly moveable objects if you can and check your locking area to make sure it is not compromised (there have been reports of people cutting u shaped posts and covering the cuts in metal tape and painting over to steal bikes)
Make sure your bike is easily recognizable and personalized, a Trek from the store is not your bike and you cannot easily prove it but with stickers especially those with your name and some other personal touches will help prevent theft.
Put your name and contact info in the handlebars or some place like that, if it is stolen it could aid in recovery.
GPS tracking can also help