My data mostly comes from craigslist New York and bicyclist forums. The bike theft situation in NYC is probably worse than other places because:
1) Many more people pass your chained bike. In some places you could actually have a million people pass it in a 24 hr period.
2) The construction and auto repair industries guarantee that many of the people passing your bike have tools that can be used in bicycle theft.
3) The bicycle messenger and delivery industry guarantees people who know bikes, and need bikes are around your bikes.

Each entry is at least one theft.
x3 = times 3, 3 thefts of this type.
* = my own personal theft.

Locked Bicycles (main lock failed):
- One wheel securely locked to pole. Bicycle frame (and other wheel) stolen (not locking frame was usually unintentional) * x2
- Bicycle Cable Lock cut with bolt/cable cutter. * x4
- Lock/locking mechanism Cut (chain or cable)
- Cheaper U lock forced open. *
- Hack saw with titanium blade goes through Kryptonite chain's lock in about 20 min. *
- Bike locked with Master Lock Street Cuffs for motorcycles stolen.

Locked Bicycles (main lock did not fail):
- Locked bike lifted over pole and stolen.
- Bike, with wheel immobilized by lock, stored in communal hallway of apartment stolen.
- "Ring Posts" use to lock bikes to in Toronto broken with 2x4s.
- Bike locked to construction scaffolding stolen when scaffolding was dismantled by thief. x2
- Bike chained to parking meter. Bicyclist thought the chain was tight enough but a thief was able to loosen it, lift the bike over the meter, and walk away with the bike.
- Front wheel (with unique key locking skewers) locked to pole. Locking skewers defeated, bike stolen with front wheel left locked to pole.

Locked Bicycles (Performance of lock unkown):
- Mysterious disappearance of bike and kryptonite lock. (no parts of lock or chain found) x4

Unlocked Bicycles:
- Unlocked bicycle stolen from apartment with unlocked front door.
- Bicycle left unlocked near cashier of grocery store stolen while owner shopped.
- Bicycle left unlocked in front of restaurant while patron made "quick" (30 second) purchase.
- Bicycle stolen from open unlocked garage.
- Bicycle left outside unlocked
- Bicycle stolen off the racks at a local bicycle store (shoplifting).

Bike locks damaged:
- Kryptonite Combination U lock jammed shut by hammer attack. Bike not stolen. x2 *

Vandalism/Stolen parts:
- Keys left in bike lock, only lock and chain stolen.
- Locking mechanism for folding frame stolen * x2
- Bicycle frame pump forgotten on bike stolen *
- Bungee cord left on bike (who would steel that) was stolen *
- inexpensive seatpost/saddle stolen
- Bike stripped of parts (gears and handle bars included), U locked frame left in place.

As seen on TV show about bicycle thefts:
- Cable cut by NYC bike messenger using cable cutter.
- In Chicago: Pole fastened to base by bolt. Bolt removed so the pole, not the bike, can be lifted and the bike stolen.

Lessons:

Always lock your bike, even if you think you will be quick.

Anticipate a thief lifting a locked bike over the pole the bike is chained to.

Cable locks, even thick heavy steel ones, are easily defeated (even by hand tools).

A smaller sledge hammer is a common tool, if your bike just has a U lock there are dudes that will take a shot at it, possibly jamming the lock.

It is possible to pry open the cheaper U locks.

A U+Cable lock requires thief to have 2 attacks to be successful.

With 2 locking methods it is unlikely you will fail to properly deploy both leaving your bike unlocked.

Kryptonite chains are a thing of value, and are a target; Perhaps even more valuable than the bike. Theives may be taking both the lock and chain as they are required to make a claim to Kryptonite. By taking the chain and lock, even if damaged, they reduce the chance of you filing a police report; Which you would have to do to claim the insurance payment from Kryptonite.

I have read about cases where reporting a stolen bike to police and posting on craigslist actually resulted in a recovered bike.

Identifying a stolen bike and confirming your ownership to police can be difficult. You should definitely place a sticker or note (preferably water proof) with your name on it on the seat post or other place. Registering with police is also a good idea. Etching your name and tel# on parts is more permanent, and will make selling it as a used bike harder both for a thief and you. Record and email yourself with all serial numbers, and a picture of the bike.

Other ideas:

- Remove parts from the bike. Skewers, seat posts, QR pedals (MKS brand for example) are all easy to remove from the bike and make the bike difficult to ride and sell, and less valuable. Extremists could even remove the chain if it had a QR link installed.

- Allen or locking skewers (pitlock, On Guard) may help. Or may not I have seen no evidence either way. I feel enough hits with a sledge hammer, or just pulling on the frame, will dislodge the skewer from the dropouts. Expensive locking skewers might be a tip off to thieves that your bike has expensive parts. Allen skewers are inexpensive and weigh less but will cause you grief if you have to fix a flat and do not have an allen key.

- Lubricate the lock. Oil into shackle and key hole.

As usual see SheldonBrown.com for ideas.

QR = quick release