I have 2 friends who just lost their bikes to thieves who hacked through their frames. I believe they were riding track bikes with expensive components. Bottom line... locking up outside for more than a few minutes is risky, BUT the quality of your bike (relative to those surrounding it) plays a large part in the risk factor.
I've never had anything stolen, but I think I've had a good combination of caution and luck. Another friend has had his rear wheel stolen despite locking skewers, and his saddle stolen in the middle of the day in midtown.
If you care deeply about your bike and/or anything attached to it, keep it with you. As others have said, NEVER lock up overnight. Cable locks are completely useless. I recommend using both a chain lock and a u-lock, since they require different types of attacks in order to be defeated.