Losing your bike to a low-life thief sucks; losing your bike parts comes pretty close. Personally, I recommend the New York U lock by Kryptonite, if you harbour any thoughts of hanging on to your bike in the big city. Lock it to something that can't be cut or easily broken; remove the front wheel and lock it to the back wheel and frame; old school. If you don't want to remove your front wheel, then use secure stays, like Pinheads, or get used to living without your front wheel. Use the smallest lock possible. The New York Standard (SD) is a good side, unless you're a messenger. Avoid cables or chains; even the best of them can be easily cut with the right bolt cutters; they're generally a waste of time and money. Carry an extra quick release stay in case someone takes the one from your front wheel. Replace quick release back stays with something less removable.