In an effort to make the lives of the thieves more difficult, and your bike safer from said thieves, I am going to try and offer some tips on fortifying your steed.
First and foremost, most people are using Mini Ulocks that can at best lock your frame and maybe your front wheel. If this is the case, you can pick up one of these 5" padlocks with removable shackle to lock through your seatstays keeping your rear wheel from being easily removed. These can be purchased for under $10 at most hardware stores, and we are also keeping them in stock at the shop for $9. I first saw this being used in NYC in the mid 90's by messengers as a fast and cheap method of rear wheel security. Most ULocks and even Chain Locks will handle frame and front wheel, but as Jesse will tell you, don't overlook that rear one.
Check back for more tips soon!