Strength mainly - U-locks generally take longer to cut through, whilst most chains/cables can be cut through with strong bolt cutters, they're also often weak at the point they join the lock. That's not to say they're aren't some fairly strong cables or weak u-locks, but in general U-locks will need power cutting tools or a jack.
Richard
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Currently riding an MTB with a split personality - commuting, touring, riding for the sake of riding, on or off road :)