I use a Krypto Fahgettaboudit chain.

+good for multiple bikes/bike piles
+can lock to pretty much anything
+easy to carry around yer waist with a mod.

-needs modifiying to fit around your waist (for skinny folks its too long, needs shortening or the addition of a carrying loop)
-need to think about where you're locking too sometimes (ie not great for parking meters) to ensure the bike just can't easily be lifted off the pole.
-heavy esp when lugging it about all day
-floppy chains can be hard to use (ie feeding it through yer bike and around fat poles).
-still need some protection for front wheel. Can't lock frame+both wheels.

Lots of the messengers in London use Abus Granit steel 'cable' locks. Rigid locks that can easily fit around your waist. A little faster to use than a chain lock and about half the price (in the UK) of a Krypto chain.
http://www.awcycles.co.uk/products.p...0s94p620&z=116

Perfect for messengering in a city without too many parking meters but lots of fat light poles etc. Pretty heavy duty as well.