Earlier today I came across this video - I started watching around the 6:30 mark. To briefly summarize, in about 2 minutes worth of actual work, these guys managed to cut through about $800 worth of bike locks, including the touted-as indestructible Kypronite New York Lock.
I personally do a combination system - I use a combination of the older version of the OnGuard Pitbull Medium through my frame with a small, thinner OnGuard Doberman Cable Lock through both wheels. When it's all the way done, it usually looks about like this:
These photos (which are admittedly a bit old, but my locking is the same) are the before and after of leaving my bike locked up outside a friend's apartment building in downtown Austin on a Friday. While I've never had a problem with bike theft, I fully recognize that this makes me lucky, rather than good. For all that we spend money on locks, past a point, these things are all about deterrence and making it more of a pain in the ass than it's worth to steal the bike.
While I personally lean more towards the U-Lock, there are some corners which love the hardened chains, which look like gigantic beast-slayers (but no love for cable locks). As that video at the top demonstrates, it's all possible to get through with a stout set of bolt cutters. I'd love to know if anyone has creative locking strategies beyond the basic "Lock all the things with whatever you can get around it" - theft is an issue that affects anyone who has to leave things outside from time to time. Thoughts?