Don't go with the cable locks, it takes less than 30 seconds to cut move and roll away.
U-locks are the best and pretty much only way to go other than huge chains that weigh you down.
I use this one. Not too big, but high ratings for security. You can get the less expensive model around $50.
http://www.rei.com/product/855203/kryptonite-new-york-standard-u-lock
If you don't care about the bike being stolen because they are less than $100 each, a cable may be ok. But be prepared to replace the bike eventually.