The Sheldon Brown method of locking a bike, plus the Pitlock skewers mentioned above should do you pretty well in most places. With those skewers, a thief will need power tools to yank off your rear wheel.

What is funny is that most people I've noticed lock their bikes up either with a cheap cable lock, or a cheapy generic (generic as in not Master, Kryptonite, Onguard, or a known brand) U-lock with a round key. If they use a U-lock, they just lock the center of the frame to something, where a thief could be off with a front wheel in the time it takes to flick a quick release. Its pretty rare to see someone use more than one lock on a bike.