How do you lock your bike?

As already mentioned in other posts, since I have to spend four days a week in a big city due to work I had the opportunity to experiment a few times the nocturnal operoseness of bike thieves.
Coming from my small town, I expected to use a bike to commute regularly in the city, and I thought that bike thieves would not be interested in old and cheap steel bikes. Well, I was wrong. They steal every kind of bike, no matter if it's a 80 bucks bike from the supermarket. This situation, as narrated in my previous urban mobility posts, made me decide buying a footbike, that can be taken inside during night time more easily than a regular bike.
Everytime that I had a bike stolen, I improved the locking system, going from a regular and cheap woven steel cable, to heavy chains, to a U-lock. Everything has been broken, and I suppose very easily too.
I've done some research on the matter, and I found a very interesting article from Slate, you can read it here.
It's an article from 2006, in the internet world that could seem ages ago, but we're speaking of bike locks, and technologic progress in this field is not that quick.
The author of the article tries to break many different types of bike locks and gives a clear evaluation on security, portability and value (the efficency of the lock compared to its price).
What I didn't expect was that also very expensive bike locks can be broken easily.
All the locking system that I used were kinda cheap, as it's not that convenient to spend 90 euros to lock a bike that costs 80... well, maybe it is in case of multiple stealing.
Anyway, the article says also that most bike are stolen because they are not locked at all. So choose the locking system that you prefer but LOCK YOUR BIKE!