You need two different sets of tools to defeat each kind. The tools thieves use on a chain aren't effective on a u-lock, the reverse is true. Taking both ensures that anyone packing only one flavour probably won't be able to beat both locks.

If I were to choose just one out of the two, for whatever reason, it would be the U-lock. Power tools and jacks are not inconspicuous. Chains are easier to cut with more discretion.