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.
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 seat post 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 seat post collar to secure your saddle.
In our web travels, we even found a blog dedicated the art of locking a bicycle in urban settings: http://lockyourbike.wordpress.com
Kryptonite Locks also provides a list of locking tips to help you use their products effectively. It's worth checking out: http://www.kryptonitelock.com/TechLab/HowToSecure.aspx