You love your bike, so any time you're not riding, it should probably be locked to something that's firmly stuck to the ground. Bikes are commonly stolen when a thief breaks the thing the bike is locked to, not the lock itself. To make sure your bike is still there when you get back, you need to lock the bike properly, and you need to use the right lock(s). Let's start with a good example:
In this photo, the rear wheel is U-locked to a pole, and the front wheel is secured with a noosed cable. Note that by locking the rear wheel between between the seatstays and chainstays, the frame has effectively been locked as well. This method makes using smaller U-locks easier and is very secure in Champaign (a locking cable or chain would would be better than a noosed cable).
U-locks ($30-$100) are the most secure. They come in a range of strengths, but in CU even the least expensive ones are very rarely broken. The stronger locks come with anti-theft guarantees up to $4500. The downside to U-locks is that they can't lock both wheels and the frame without removing the front wheel.
If you're just going into the store for a minute or locking your bike only during the day, you may prefer the lower weight of a cable lock (~$20). Some coil themselves, making them easier to carry and harder to use, while others are simply cables with a padlock. We do not recommend these for use at night.
Chain locks ($30-200) offer higher security than cable locks while still being able to secure both wheels and the frame, but they are also the heaviest option. They are often carried as a belts.
Hot spots for bike theft include campus, schools, libraries, and parks. In these areas, wheel theft (above left), stealing everything but a wheel (above right), and seatpost theft are all very common. Check your seat post collar to see if there's a lever. If there is, consider buying a seat leash or bolt-on seatpost collar to secure your saddle.