I've seen some decent looking U-locks that shouldn't cost too much, although not certified as Sold Secure Gold.

MEC sells a decent looking U-lock that won't break the bank.

Kryptonite apparently has overhauled their line, so you can get a KryptoLok which provides decent security from most attacks for about $20-$30.

At the minimum, carry a U-Lock and a cable that can wrap through both wheels, the saddle rails and the frame. I still think that all bikes used for commuting should be shipped with locking skewers, and keyed bolts similar to what Bryce Fastener offers. Its not 100% secure, of course, but it turns a 30 second job with an Allen wrench into something requiring a Dremel tool and a lot more time.