I've been thinking about a set of Pitlocks for leaving my bike out even just to run errands... there are now sets with a locking threadless headset as well as seatpost and front and back wheels. I now use a high-security U-lock and medium security cable (or just the medium security cable - both wheels plus frame) for errands where I am inside 5-15 minutes. I'd like to get this down to the ease of just the Pitlocks + U-lock for 5-15 minute errands, and then the added security of Pitlocks + U-lock + cable lock for grocery shopping. My front wheel has a generator hub, and will soon have studded tires, so I really want to protect the wheel / fork.

People also superglue ball-bearings into hex nuts to prevent theft (and use solvents to dissolve the superglue to unbolt), or go to torx nuts (though these are getting more popular due to disc brakes, so thieves are more likely to carry these tools).

People keep remarking how "nice" my commuter bike is, which makes me nervous... it really is just an entry level steel bike (Bianchi Castro Valley ~= Volpe frame), I just take *very* good care of it. I enjoy working on my bikes almost as much as riding them. (I actually love what a previous owner did on the Bianchi mixte hybrid I got for a fixed / single speed commuter - s/he painted in all the paint knicks white, on a red frame with white lettering. So the frame looks "crappy," is still protected, and still satisfies my desire for some sort of "order.")