l.Get a Good Lock
Invest 10-20% of the cost of your bike on the lock. The hardened steel D-locks are highly recommended. Use two locks: a D-lock and a chain and the robber needs 2 different kinds of tools to get them off.
2.Lock it Properly
Put the lock through the frame and the wheels and lock it to something you make sure is firmly attached to the ground and is immovable. Leave as little slack in the chain as possible.
Don't leave the padlock lying on the ground where it can be whacked open. Remove anything removable: Saddles, bags, lights, pumps and water bottles are all easily stolen. Replace quick release levers, and even regular bolts, with less accessible fixings so that wheels, seat posts etc can't be removed as easily.
3.Consider the Value of your Bike
That means, the more valuable it is, the more the thieves will want it.
Don't park in the same spot every day.
Don't let it stand out as the most expensive one around.
4.Disguise the Brand
A hard one to stomach, but put tape over the name or spray paint the frame an ugly colour. Even if the thieves see the brand name, the re-sale value has been lowered.
5.Consider a Folding Bike
Folding bikes are expensive but you can take them with you.
6.Buy a Cheap Bike
They don't have so much street cred but equally, no one wants to steal them.
Videos worth watching:
Bicycle Maintenance: How To Stop Your Bike Being Stolen
How to lock your bike - from Treehugger.com
Long term bicycle locking