I have a 3-pronged strategy:
1. The lock itself. I use a basic Kryptonite U-lock (The ~$45 one). They come in different sizes, get the smallest loop you are confident will do the job, which for me is usually the smallest one they offer. It does mean you have to look for a smaller rail to lock to, but that slight inconvenience is more than made up for with extra security, as the larger loops = more room to get a crowbar/tool into and more leverage once it's in. Smaller ones are much harder to break. Try to fill the loop as much as possible when locking up and not leave a big empty part a lever can get into. I don't bother with an additional cable lock for extras for reasons that will be apparent below.
2. Your locking habits. The longer you lock something up, the more likely it is to become a target and the more time the thief has to get it. I try to lock bikes up for maybe an hour max, and 95% of my day-to-day use is sub-10 minutes. If I'm going somewhere that requires hours at a time, I'll do my best to see if I can bring the bike inside with me. Locking up in the same place, every day, for the whole day, or leaving overnight are asking for trouble.
3. The bike itself. As a recreational rider, I have nice bikes, but I also have one that is cheap and dedicated as a commuter/workhorse. This one has no quick release parts, nothing flashy, nothing easily removed, and looks like shit (although it is well maintained and runs perfectly). It currently has a bent seatstay where someone tried and failed to break the lock. While I will sometimes lock my other bikes up briefly, this is the one I will always use if it's a less than ideal situation. If something does get stolen or broken, I consider that CODB and remember that even if the whole bike disappeared every couple of years, it would still work out cheaper than using a car.
Fingers crossed, but I have never had a bike or parts stolen in 25 years of commuting daily and riding everywhere (I don't even have a driver's license), although I have had things damaged. The key thing is to make it difficult, as nothing is impossible to steal. Thieves are by nature lazy and opportunistic and if it looks too hard, they'll move on to an easier target. I'm currently in Baltimore.