Use two different locks, say a U-lock and a heavy duty cable or chain. Most theives only carry tools to defeat one type. Plus, it becomes more of a hassle.

Other options:
-remove a pedal, makes it hard to ride away.
-Another cool idea I read was to fill the heads of your hex bolts with candle wax. Theives can't quickly steal your parts, but you can dig it out easily when you need to work on it.
-Lock your bike up head high on a lamp post, fence, etc. Makes it hard for the theives to use their tools on your lock and it's also more obvious to a passerby.

Thieves are lazy and want a quick buck. Basically, you need to make your bike a hassle to deal with so it's not worth their time or risk and they move on to some other target.