That's my lovely wife's lovely bike in the picture above. Because she's a smart woman, she knows the importance of proper locking technique. Christine uses the Sheldon Brown Lock Strategy to secure the rear wheel within the frame of her bicycle and to a sturdy immovable object. A supplemental cable loops through the front wheel, the straps of her helmet and the shackle of the U-lock. Of course, some well-equipped thief could snip the helmet straps or the cable and if given enough time and proper tools cut through the lock, but by locking her bike up as shown, Christine has made her bike more secure than 95% of the bikes I see locked up on the streets around here. As the saying goes, you don't have to out run the bear, you just have to outrun your slowest companion. When advising customers I tell them to get a good U-lock and a cable and "lock your bike near a nicer bike that's not locked as well."
The folks at Kryptonite Locks have a nice page discussing locking technique and here's a great video where Hal Ruzal explains how he locks his bike in New York City. The important thing is to have a good lock and to use it well. Every time.