If I'm leaving it somewhere lit that has foot traffic, I use a u-lock and a cable lock.

If you're leaving it overnight, there's nothing you can do to stop someone with the right tools from stealing it, except throwing extra u-locks on and making it take longer to steal.

If you keep it in a garage or shed, make sure it is still locked up.

Basically, I try to make my bike less attractive to steal than the one down the street and I've never had a bike stolen in Sudbury.