i also recommend a u-lock. preferably kryptonite or onguard (i think kryptonite is a better lock, but i've never heard bad things about onguard.
remember that you get what you pay for, just because it's a u-lock doesn't make it bomber, the more expensive ones are thicker/harder steel, etc (see NYC fahgettaboudit). i use a kryptonite evolution myself and love it. i put it through the frame and rear wheel whenever possible. i also carry a cable for the front wheel (or front and rear when i can get it in the u-lock).
a note about cable/chain locks... you don't want the padlock to be the weakest link. i use one like this
notice how it give you little room to get bolt cutters in there, and even if you get it cut, you can't just twist it off (like a regular padlock). i made the mistake of using a regular padlock when i first moved to baltimore, caught a guy riding off with my bike and some bolt cutters. if i had come back 10 seconds later i would have been out 1 bike.