I use a mini U-lock with Pitlocks. My wheels, seat, and fork can't be removed from the frame without the proper key or power tools, and I can easily lock the frame to pretty much anything. The mini-U is smaller and lighter than many U-locks, and harder to lever open (as it is small), particularly if you make sure to put it through multiple tubes, or a wheel and a tube, or whatever.

IMO this combines good security with extreme ease. of course, if you come up against power tools, you're done for anyway.