Just adding to what dutret said right here, it has always
seemed to me that the best method is to have two locks
of differing types to secure your bike. So I carry around
one Fug. U-Lock and one decent cable lock, with the
theory being that two entirely different tools are required
to defeat each, and it's unlikely that a thief would be
lugging both around town. The only problem is that the
cable lock doesn't really fit in a lot of the same places that
my U-lock does (parking meters, mostly), so I end up
using the lock to secure both wheels, or a wheel and the
seat.
Of course, someone with a small grinder could easily
defeat both, but I think we all acknowledge that all locks
are useless against powertools.