Here's how I deal with the three main threats:
- Keep the bike from being stolen with a small, chunky u-lock.
- Keep the components from being removed with security skewers
- Make sure the structure you're locking to can't be dismantled.
U-lock: I use the Kryptonite Fagheddaboudit lock, which maybe a bit of overkill in retrospect since it's quite heavy for a u-lock. Small locks prevent thieves from fitting prying jacks inside the U.
Security skewers: These replace your quick-release skewers. They can only be unscrewed with a custom key that comes with them. Each key is different, so these are much better than simply using allen key skewers. They're pricey (~$80 for the two wheels, headset, and seat), but unlike a cable lock, they secure not just your wheels, but your front fork and seat as well. They also weigh nothing, require no cable-wrangling each time you park, and can't be clipped. I've found them to be well worth it. I use Pinhead skewers: http://www.pinheadlocks.com/
Verify what you're locking to: I know a guy who avoided bike theft in NYC for years using the above two tools, but who was finally undone when he locked his bike to a workers' scaffolding at a construction site. The thief simply removed the cross-bar that he had locked to, and made off with the bike. Another common honeytrap are those removable stop signs (the kind where the post is attached to a post stub in the ground, using a unscrewable bolt).