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There are roughly two sorts of bicycle thieves. One wants a bike - hops on, ride somewhere and get rid of it. All you need to prevent this is to secure the bike so that it can't be easily ridden away (by a lock, for example). The other sort wants money - hauls the bike away and then sells it whole or part by part. In addition to a good lock, hard-to-sell looks help here: dirt and rust, cheap-looking, old or unusual components, ugly paint and the like. But if you don't want to vandalize your shiny darling this way, locks are your only way to go. Let's look at them more closely.
Pros: light, small, easy to use
Cons: don't prevent carrying the bike away
A claw blocking the rear wheel is mostly just a symbolic measure saying "this bike belongs to someone, leave it alone". Makes sense only for old beaters not worth stealing for money, or cargobikes and rickshaws too heavy to carry.
Pros: light, small, cheap, available in every shop, practical, made in many lengths
Cons: can be snipped with pocket-sized pliers (as you can see from last two pictures)
Mostly just a symbolic protection to prevent bare-handed theft (except the cheapest number code locks) and about a three second delay for a thief with tools. Thicker and sturdier cables are available, but at the cost of more weight and less flexibility.
Pros: still light, cheap and practical, while looking quite impressive at first glance
Cons: still no real obstacle for pliers
Thin metal casing gives an ordinary cable a sturdy look to deter thief amateurs, without adding significant weight or impending flexibility. To get a real protection, you'll have to reach for the heavier and more expensive end where there are thick cables shielded by massive hardened segments.
Pros: the strongest type available
Cons: heavy and big to carry, but too small to wrap around a tree or a lamppost
There are many models ranging from rather cheap (pictured) to very expensive. The cheapest ones might be cut with a hacksaw, better ones need an angle grinder. Cutting pliers should stand no chance.
Pros: sturdy, foldable
Cons: heavy, usually expensive, sometimes still too short
There is no cheap low end in this category. Pliers stand no chance as well as a hacksaw, and a grinder has lots of iron to grind through. Rumor has it the connecting pins can be pried apart sometimes, but certainly not without heavy duty tools.
Pros: sturdy, foldable, long, any padlock can be used
Cons: heavy, rattle during the ride
A hardened chain can take the same load as a padlock eyelet of the same size: safe from hacksaws and pocket-size pliers, but really big bolt cutters may snip it. On the mightiest end of the range, there are heavy chains for motorcycles which can rival good U-locks.
Pros: may deter thieves or allow to catch them red-handed
Cons: pretty much useless if you are out of earshot, most people ignore these gorram noisy things anyway
Electronic gadgets which scream upon unauthorized manipulation usually work by detecting shocks or position change. I haven't tried any of them yet, so I'm not sure about the actual performance.
Pros: let you find an already stolen bike
A gadget hidden discretely within a bike frame may track its position by GPS and send it to you, or emit a radio signal for more accurate short-distance homing. Of course, it's all limited by GPS signal availability (unlike in a cellar) and battery life.
Parking a bike in a dark alley where nobody looks seems to be a good idea - thieves won't notice it, will they? But a thief is used to look at these exact spots, so he finds it and cut the locks or strips down valuable parts in pleasant privacy. It's better to park at highly visible spots where nobody wants to risk getting caught. Of course, don't make your bike an obstacle, otherwise you risk accidental damage.
Short-term parking is usually not very risky because no one knows about you in advance. But if your parking is regular and long, every random bystander notices it, including thieves who can track best opportunities for undisturbed work. If your bike is anything more than a wreck not worth stealing, you'd better find a lockable room or guarded parking lot.
When you lock a bike to an object, make sure it can't be carried away with it and that the lock cannot be shoved off it easily (like bollards or the like: all you need is to lift the bike and ride away). Lock by the frame so you don't find just a well-locked wheel instead of a bike. Avoid quick-release devices and generally anything that can be loosened without tools.
In the Czech republic, you can register a bike with the Police. It's free of charge, just take it to your local police station and show your identity card and a receipt to prove the bike is really yours. An advantage is the police exactly knows what to search for and that you get a sticker that may deter some petty thieves. A disadvantage is it doesn't guarantee finding your stolen bike, it just increases the probability a bit. And that you get easily recognized by the police if you start to think traffic rules don't apply to you :-).