Locks have three general categories:

Keep a casual passerby from making off with your bike. For someone to make off with the bike, they have to cut and break something (which keeps most "honest" people away.)

Keep Joe Boltcutters from making off with your bike. In a lot of areas, even a $3 U-lock made out of pig iron is decent. A thief will have to go and get bolt cutters or some other type of tool to remove it.

Discourage Joe Pro from your bike. Joe Pro will get any type of lock off, but the trick is to slow him down so he doesn't bother your bike and goes after the Orbea that is locked up with a cheap vinyl coated chain from a hardware store, and a generic brass padlock.

Discourage Mike Meth-head from your bike and minimizing his brute damage. Mike Meth-head doesn't care about the type of lock, but will randomly force stuff in hopes he can twist off something of value that he can sell. With this type of guy, your best bet is to use Pitlocks or other locking skewers to keep forks, wheels and seatposts from getting removed, then using Sheldon Brown's locking style. Then, Mike Meth-head will twist and not get the bike, and pretty much only damage the rear wheel as opposed to major frame damage.

I live in Austin, so there are plenty of Joe Pros out there. So, the best bet is at places where you frequently lock up, plop a chain + good lock on the rack and leave it there, then carry a decent (sold secure gold of course) U-lock on your bike. If you are going on a long bike trip, carry the U-lock, and then perhaps carry a low-security cable lock for emergency locking (like locking your bike to a tree.)