Like many others, I have a U-lock that I snap onto a frame-mounted bracket. I also have a looped cable like this one (OnGuard Akita):
I take the Akita with me when I go on group rides, because we often have to lock our bikes together, since our numbers tend to overwhelm the available bike racks at the restaurant or whatever place that we stop and hang out after a ride. I also bring it when I have to lock my bike outside for more than an hour, running the U-lock through one loop, and cinching the other loop - pretty standard U-lock + cable locking technique.
I usually wrap the Akita around the seatpost. I saw other cyclists doing that and couldn't think of a better idea.
If/when I get a road bike, I'd like to check out a folding lock like the Abus - I wouldn't trust a cheap knockoff. I'd be less likely to leave the roadie parked outside anywhere for longer than it takes to make a restroom stop - the one exception being a group ride.