Anytime you leave a nice piece of machinery out in the world and walk away from it there is a certain amount of trust involved, Kryptonite’s best models are unmatched by anyone except Germany’s ABUS brand, and here in the states you’ll pay close to twice as much for it so Kryptonite’s the way to go. Both the U and chain types hold up in tests about equally, the U is considerably lighter but the chain allows more options on what you can lock it to.
Yet there are caveats, a cordless right angle grinder (DeWalt for instance) with a cutoff wheel and other methods are rarely tested, possibly because the results are frightening, here’s a sample:

http://d55168.com/dewalt-15-gallon-portable-air-compressor/plasma-vs-kryptonite

The plasma cutter, just 18 seconds- fortunately nobody just walks around with a setup like that. More relevant is the angle grinder test, I don’t know why he used a grinding wheel instead of a cutoff wheel- he’s removing far more material than necessary- he gets through in 2:30 or so, word has it a cutoff wheel does the job in well under a minute.

If there is good news it makes lots of sparks and noise!

In the end those with pricey bikes know the components are the real money (I ride a ~ $4k all Ti hybrid, frame was about $1k) and don’t have serial numbers, so you still may return to your lock intact- with a frame and not much else.

Put a ball bearing in each part’s allen head sockets, then drip candle wax in each to secure the bearing. If you’re hard core you can use epoxy instead but it’s a few minutes to chip out each, so….

Shame we even have to do all this, but if we’re playing the game we can’t let the bad guys win.