I carry and use a Kryptonite 3000 New York Lock for when I have to leave my commuter/utility bike locked up for awhile out of sight. Yeah it's heavy, but it's cheaper than replacing the bike ;-)

I also have a 3/8" cable lock that I carry in a handlebar bag or wrapped under the saddle as shown above, for short stops where I'm still somewhere nearby, as well as for those times where there's nothing that your U-lock will fit around. In combination with your U-Lock, the cable will let you secure both wheels and the frame around something like a tree or a lamp post, and a potential thief will have to have at least two kinds of tools to get thru both locks and get your bike.

Tom