Some U-Locks also come with a frame clamp if your frame has space for it.....
I vary my approach depending on which bike I'm riding. My race bike is never left, locked or not, unless its locked on top of the car, and even then not for very long. My other bikes are not usually left for very long (like not locked outside during say, a work or school day - just while I'm in a store or running an errand). I use a cable lock mainly for ease of transport- I do not have space on my frame for a U-lock. I figure that the lock is just to keep honest people honest.
There is one place I will leave my bike somewhat unattended - and it happens to be Starbucks... our team meets and ends there often, as do many other teams and groups of cyclists. There's always a big pile of bikes parked outside and rarely do I see anyone lock them - its a pretty safe area and there's a lot of sets of eyes there almost all the time.

Kind of funny/not so funny story - I was downtown waiting for a bus once and this very homeless looking kind of drunk guy comes walking up, pushing a bike and talks to another homeless looking guy. Homeless guy two says "I didn't know you had a bike", homeless guy one looks startled " where did I get this"........... This is why I lock up my bike - I don't think I can keep it safe if one of the bike thief pros wants it, but I certainly don't want some drunk homeless guy walking off with it either.