Wrap your bike head to toe in electrical tape or spray paint it primer colored. Make it FUGLY. Remove all decals and brand names from components.

Smaller the U-lock the better, gives them less leverage. Buy it at REI and if it ends up being too small then take it back and get a bigger one. Take front wheel off and lock it to rear wheel and frame or if you're too lazy then get a chain, too, and wrap the front wheel locking chain with the U-lock.

Seatlocks are good. You can use pitlocks on your seat bolt and on your wheels if you have bolted axles. Some people use an old section of bike chain for their seatlock. It isn't impossible to removed, but the thief has to have a chain tool to do it...likelihood that they do is slim.

Location is key...lock it where there's people and lighting frequently. Make sure it's visible to the public. This is in no way a cure-all, as many people have their bikes ripped off in broad daylight in busy places, but everything helps.

Nothing is bomb-proof...what you're trying to do is make it difficult enough that a thief doesn't want to take the time to do it. Every little thing you can do helps. Do lots.