A friend of mine recently got their bicycle stolen. This is not fun, and happens all too easily in urban areas. I'd like to offer these tips to make sure that your bicycle stays yours.
Use a lock that is appropriate to the cost of your bicycle, and your surroundings. I would only advise using a cable lock in a sparsely populated area. In a major city, where professional bicycle thieves roam the streets with angle grinders, plasma cutters, arc welders, and bolt cutters at their disposal, up the ante. I used two U-locks to secure my bicycle when I locked it outside in high school. I've had thieves easily defeat chains, cables, and combination locks.
If you must lock your bicycle outside in an urban area, secure anything that can easily be stolen (i.e. avoid quick release anything) and use the top of the line Kryptonite U-lock or chain lock with the linear key design.
Never let your bicycle leave your sight. I always try to go places where I can bring my bicycle inside with me, or where there is safe bicycle parking. A business being bicycle unfriendly is a deal breaker. For the record, bicycle shops are typically extraordinarily bicycle friendly, and will always let you bring your bicycle into the shop. If they don't, find another shop.
Keep your bicycle out of sight. If you live in an apartment building in a city, store the bicycle in a room away from windows, so people on the outside can't tell that there is a $5,000 carbon fiber ride sitting in your living room.
A little diligence goes a long way.