Place to lock: a beefy bike rack or post (although a problem's been uncovered with Toronto's post-and-ring design), preferably where I can see it from the store/restaurant etc. I'm going to.

NY Kryptonite U-lock around rear wheel and rear triangle.

Cable around frame and front wheel. Not that great, but I can tolerate losing a front wheel... Sometimes in especially bad areas I'll remove the front wheel and actually take it with me whereever I'm going.

Quick-release seatpost with my favourite Body Geometry seat goes with me (there is tape on seatpost for quick insertion without continuous readjustment ). Same for front light and cyclocomputer.

A lot of places will also just let you roll your bike right in.