Make Magazine has some unique advice on how to keep your bike safe. ie A thief won't give your bike a second look if it appears to be barely operable. Well, that's the theory....
My advice is:
1) Use an Armoured-Link style of lock to secure the frame to a stationary object. These locks are lighter than 'U' locks, and they can't be broken using the same technique to break 'U' locks.
2) Use a cable and padlock to secure the wheels and frame to the stationary object.
3) Park it where you can see it. If that's not possible, then park it where a thief might think you can see it: In front of a coffee shop or restaurant.