Whichever lock you go with, make sure it loops around your lock-up point—bike rack, secure fence, etc.—and through the triangular part of your bike frame, and through the spokes of your rear wheel.
Two locks are always the most secure, but few people want to buy and carry two locks everywhere they ride. Ideally, a second lock would go through the front wheel to the lock-up point, because it’s very common for thieves to steal an unsecured front wheel, especially if it’s a quick-release design, and front wheels are expensive to replace. That’s why I liked the Kryptonite Evolution Mini-7, which comes with an extra cable built into what’s a decently safe U-lock.
Keep your U-lock away from the ground when it’s locked to your bike. Thieves like to take a bottle jack, normally for jacking up a car, and place it inside the “U.” Then with enough pumping, it breaks the lock open. If you get the U-lock away from the ground, it makes it hard for them to do this. You also want to get a U-lock that has as little extra space inside the “U” as possible. The less extra space, the less room there is for thieves to manipulate the tools needed to cut through it.
Oh yeah, and inspect your lock-up spot before you decide to park there. Thieves are known to dislodge poles and sign posts from the ground and then place them back in the hole, so all they have to do is lift the post to free your bike once you’re gone—no tools or noise required.
If you lock up at a bike rack, check it out first—especially if you see tape wrapped around it. Bike thieves are known to saw through racks and then wrap the cut part in tape to hide it, so when bike owners walk away, they can yank the tape off, pry the severed bike rack apart enough to slide your lock out, and ride off.