I have a u-lock/cable lock combo. Very heavy. I carry it in my pannier on my commuter bike.

Haven't figured out yet how to carry it on my go-fast bike. Probably wrap my belt-pack straps around it and carry it (the u-lock only) on my waist.

You can buy brackets to hold a u-lock in the front triangle of your bike frame. They take up the space of one of your water bottles, though.