I use a Kryptonite Evolution Mini (with optional insurance) plus a kryptoflex-style cable for the wheels.
You can also buy special bolts for both your seat clamp and your wheels, which means a special key (rather than an allen key) is required to take off the seat or wheels, protecting them from thievery too.
I also mark my bikes with something distinctive. Lots of people use stickers, but I've tended towards tape, spray paint, and permanent marker - stuff that makes the bike look less attractive and makes it more identifiable for me. The other advantage to tape is that it protects the bike from scuffs and dings.
The other major consideration is where you park your bike. If I was a thief, I'd probably go for bikes parked in low traffic areas that would allow me time to work on the lock. You're better off in high traffic areas with lots of other bikes, as thieves (unless they're targeting your bike specifically) won't know which of the many cyclists coming and going might be the owner of the bike they're trying to steal.