I have the cable and padlock. I carry it in my handlebar bag.

I have yet to use a lock, I don't really think it's necessary in my town, but I did just buy a lock. I got the cheapest I could; a $5 fixed-combo kid's cable lock from K-Mart.
I figure if a pro wants my bike, he'll have it anyway. The lock is just to discourage kids from screwing with it on a whim.
It's pretty small and light, though I would like one even smaller. It actually fits in my cheap wedge pack along with a spare tube, tire levers, multitool, patch kit, spare chain link, chain tool and a spare LED headlight (it's getting pretty cramped in there).