It really depends on your area and how fancy your bike is, there are plenty of videos of thieves nicking bikes, like this page.
My rule of thumb is:
- if it's carbon never leave the bike anywhere you can't see.
- If your bike looks at all fancy, never leave it anywhere you can't see.
- If it is an average looking bike, make sure you use a D-lock and make sure it is as small as possible, and preferably difficult to get at
- Never, ever only rely on a chain or cable type of lock as they are just about useless.
- Obviously don't lock your bike to anything that is easy to just cut off, like a tree
Think about it as if you were nicking a bike, if you have any kind of moderate sized pair of bolt cutters it would take you seconds to get a chain or cable off. These days stuff like battery operated angle grinders are so common, it would take you less that 1 minute to get pretty much any kind of lock off(including D locks). Scary, but true. Thieves have also been known to use small hydraulic jacks as well, will break a D lock in literally seconds.
While I was living in London, which is well know for bikes disappearing, I would never actually leave the bike on the street as it was almost guaranteed to go missing. If you are in this kind of area buy a folding bike like a Brompton and just don't risk it! You can fold it and leave it in your house or under your desk at work, you can also take it on public transport everywhere I have been.
If you are going to run the risk, make sure that your all your wheels are locked through the rims (not just in the spokes) for both front and back wheels, especially if you use quickrelease wheels (In London my boss lost a rear wheel because of this)
I have personally lost a AU$1,000 bike and I swore it would never happen again.