U-Lock type locks provide some of the best and most proven theft protection against bike thieves.
Hardened steel shackles and steel encased double-deadbolt mechanisms make forcible entry difficult and time intensive -- which equates to being a less likely target.
Combine a U-Lock with braided steel cable or chain and you have yourself a formidable anti-theft combo.
Route braided steel cable or chain through both wheels and accessories (saddle, helmet, bags, etc.) for extra security.