not only a U-lock, but a GOOD U-lock.
They aren't all the same. I have opened a couple without a key (as a bike mechanic, not a bike thief!)
Mostly stick to Kryptonite or OnGuard (I personally prefer kryptonite) - and there mid to high level locks, they sell some cheap crappy ones too.
But I disagree about the skewers - you can't lock your wheel if you can't get it off. In a college town, with nice wheels, thieves sometimes carry tools, and they will remove your non-QR skewers and take your wheels.
I've seen it happen many times. Even happened to me once (when I worked as a bike messenger no less)