I have three locks:

A Kryptonite cable lock - it's a little heavier cable than what I've seen described as a latte lock, and uses a key instead of a combo.

An armored cable lock - this thing actually has some sort of metal covering over the cable. It weighs an effing ton, and the key looks a lot like my house key.

A U-lock of the new variet that isn't pickable with a ball point pen.

I never use all these locks at once (that would be just plain silly); in fact, most of the time I have just the regular cable lock. It lives on my seat post, and yes it rubs up the paint a bit. I don't care, my bike's a fairly inexpensive bike that was intended to get me places and not to look pretty. I'll swap that out for the armored cable if I'm not sure where I'm going to wind up for the day. If I know I'll be somewhere where I have to leave my bike unattended for more than a half hour, I throw the u-lock into my backpack and keep the lightweight cable on the bike - when I'm at lockup, I make sure the cable runs through my rear wheel as well as the frame. If I have to leave my bike overnight, then I do the same but with the armored cable AND I take my lights and computer off of the bike.