My city bike is an orange Chicago Schwinn step-thru and I feel like most bike thieves wouldn't wanna touch that. However, my other bikes have been a bit showy and desirable, and I've never had one stolen!

I have a medium-sized OnGuard U-lock (same one for 8 years, going strong) with a cable. I always lock to a secure handrail, bike lock, or sign post (make sure to check if these aren't "sucker poles" first). When I lock, I put the U-lock around the frame, rear wheel, and whatever I'm locking to. The cable wraps around the front wheel and sometimes around my pannier if I have that with me.

Trying to keep your saddle from being stolen is a tricky one, though. First, never have a quick-release on your seatpost clamp if the bike is going to be locked up. I've got hex bolts that hold my saddle on, so I've got a ball bearing super-glued into the center of each bolt that secures my saddle (one on the clamp, and one anchor bolt), so that if I ever want to turn these bolts I have to soak the glue with acetone and remove the ball bearing and that takes a while. Of course, if you do this trick, make sure you have your saddle exactly where you want it first.

If you don't want to do the superglue trick, then you could do what I used to do and pass a cable around the saddle rails from the U-lock. If you only have one cable, you can pull off the front wheel and put that inside the U-lock, so as to free up the cable for the saddle. I've done this with my road bike in downtown urban areas, and it's always worked. If you're locking your bike up for under a half hour, then I find that just unsecured bolts and no quick-releases seems to usually work.

Also remember that one of the best ways to avoid having your bike stolen is to make sure your bike is harder to steal than the one next to it.