I have a u-lock / cable combo: http://store.bowcycle.com/product/kr...le-80823-1.htm
Rarely use it as I bring my bike into work with me on the rare occasion that I ride to work. Stay away from cheap cable locks - they're easy to cut and I've lost a bike that way. Reputable lock companies tend to have some form of reimbursement if they get cut assuming you register your bike with them.