I remember someone posting something about chaining their pitbull to their bike while they go into convience stores. I think that would be pretty effective (especially if its a mean 'sum beotch).

If you only have a pug or something, I'd go for a big U-lock or chain. I have an Onguard Brute (the older square shackle one) and frankly I don't think that thing is getting broken without some powertools.