Buy a lock or chain of tool-hardened steel. This means that cutting, sawing and drilling tools will be meeting metal of the same hardness, and will not penetrate it as they would ordinary steels.
Cheap locks use a brittle steel that can be broken by a car jack. Look for a flexible, shatterproof steel which will yield, rather than break, under stress.
U-shared bar and shackle locks are the most effective devices for securing your bike. Its design and construction make it impervious to pry bars, hammers, freezing, hacksaws, and bolt cutters.
Good U locks are nearly impossible to pick. "It is very hard for us to pick our own locks," says Kryptonite company representative Neil MacDaid. Kryptonite has difficulty replacing lost keys to their U locks, and there are no master keys.
Not all U locks are good. Those with an extended lock can be removed by using a crow bar or pipe which fits over the end of the lock to bend the locking mechanism, which disables it. Note the extended cross bar in image at right. You can thwart this attempt by placing either a red cuff (available at bike shops) or a plumber's tee ($1.50 at hardware shops) over the locking end. More expensive models have the lock in a different place, such as the center of the cross bar, which prevents the disabling of the mechanism.
Two Inferior U-Locks
Better U locks have only enough space to fit your frame and front wheel to a bike rack, so that there is no room to fit prying tools or car jacks inside. Try aftermarket lock enhancements called "bad bones" which take up space in the middle of your lock.
Look for a convex barrel at the end of the locking mechanism, to make it resistant to drilling.
Regardless of the brand, a $30 U lock is an entry-level lock and provides only a moderate level of security when used correctly. Expect to pay more to protect an expensive bike or if you will be leaving it for prolonged periods, such as when at work. A lock which combines all of the above features runs about $60, and is worth the money.
O-Locks offer the best protection for your bike. A few manufacturers are marketing them; Bike Club and Masterlock are two that come to mind, but not all bicycle shops carry them. Ask around. The adjustability makes them great for snugly securing the frame and a front wheel to a bike rack. This helps prevent thieves from getting a prying device into the lock. Their locking mechanisms are also difficult to pick.
The chain should be at least 3/8" thick, otherwise it can be cut with simple wire cutters. It should be covered with plastic or an inner tube to prevent pinching or frame scratches. Both St. Pierre and Kryptonite make super heavy duty chain locks that use large, beefy, squared links to prevent the thief from getting a grip on them with a cutting tool. The Krypto version comes with a mini U-lock and the St. Pierre comes with a very powerful bolt-type lock on its chain, and these are seriously heavy-duty locking devices, but they are really heavy, expensive, and can't be mounted on a bike. If the chain lock you are considering is lesser than this, then choose a U-lock instead. Hardened chains work well on bicycles such as recumbents, which are difficult to lock.
Inexpensive chains and padlocks will not stop a thief with proper cutting tools, so it has to be both thick and case hardened. Be sure that the chain links are welded together; otherwise the chain can be trivially defeated with a chain spreading tool. Chain locks can provide an added deterrent when used beside a solid U lock, but they are heavy and cannot be passed through the seat like a cable lock.
These are lighter than other locks and therefore more conveniant, but they offer no real protection. Most cables and padlocks can be cut with bolt cutters, and they are every day by high-school janitors for kids who forget their combination. These are "easy pickings" for thieves.
Armored cable locks are useful for securing seats, wheels, or other bike components in combination with a case-hardened U lock, but most are trivially easy to cut. However, thieves usually carry the equipment needed to cut either one type of lock or another, so using two types of locks can not only keep the seat in place, but it is very good at convincing the lowlife to deprive someone else of their pride and joy.
The best cable locks are the ones that have the lock built-in, rather than relying on a padlock. The padlock is the weak link, easily cut with bolt cutters, the tool of choice for most bike thieves. A new, sharp bolt cutter will cut a cable too, but an old, worn-out one will only crush a cable.
If you purchase a cable lock, look for something identified as Flexweave or Kryptoweave. Cutting weaved cabling is more difficult than a straight strand cable, as is typically the case with thicker cable, but don't use a cable lock by itself.
Good locks will guarantee your bike against theft up to a specified value. As home insurance policies generally does not apply to stolen bikes worth more than $500 or so, this is an important feature.
Any lock can be picked, cut with a welding rig, or made brittle enough to shatter with a sledgehammer with liquid nitrogen. However, with a good quality lock, all are about as impractical. I've heard of only a single instance of a Kryptonite Evolution lock being welded apart or picked, but it can be done.