I went through this recently when I decided that my skinny cable combination lock wasn't secure enough. The bike in question isn't particularly valuable. But it is configured great for my needs - and they don't make them like this anymore.

I now have three Kryptonite locks:

An Evolution Mini (the short shank one) that I use like this:
http://www.sheldonbrown.com/lock-strategy.html
This is probably a great locking strategy for a less valuable bike, not so good for a carbon frame wonder that a thief wants to part out. A side affect of the Sheldon Brown method is that my bike will never tip over while locked.

A Std Mini (which is longer than the Evo) which I use to lock the front wheel to the frame. I chose to carry a 2nd U-lock for the speed of locking. Weaving a cable through everything just takes too long! I do however notice the extra weight.

And a Fahgettaboudit which I haven't used yet. It's for the rare occasion I might have to lock up in a less secure area for an extended time.