I've been content with Kryptonite locks personally, and have had good luck with being able to open the lock whenever I needed to. However, I do use Teflon oil about once or twice a year in the cylinder, as preventative maintainence, and the weather where I am isn't extreme by any means.

For most places, using locking skewers on both wheels and the seatpost binder bolt, then using a U-lock Sheldon Brown style should be sufficient. However, in a number of areas, I'd go with mechBgon's method.

As for the self locking bike frame, +1. I'd love to see that more deployed, but I'd like to see three main feature improvements:

1: Ditch the round key lock. Please. Every kid knows the Bic pen trick. Replace the lock with a Medeco removable core, or preferably a high quality Abloy type mechanism with detainer discs, which is simple, but extremely pick resistant, and can deal with almost all weather conditions.
2: Have the lock be rekeyable, so one can sell the bike to another, and the buyer isn't stuck knowing the bike can be opened by people out there.
3: Have a very solid latching mechanism, that is designed to keep people from prying it open, but also factor in the stresses from bike riding, stresses a frame has to take for safety reasons. For example, the key should never be allowed to be removed from the lock unless the lock is drawn closed and locked.