You can never go wrong with a u-lock. The classic u-bar shape is designed to loop through your frame, one of your wheels, and something cemented into the ground, like a parking meter or bike rack. Of course, thieves can cut through anything, but some things are harder to cut than others, and a u-lock is the best form of bike theft deterrent. Made of hardened steel and locked with a pick-and-drill-resistant 'disc-style cylinder,' this lock resists attack of all forms; bolt-cutter, drill, car-jack, power-saw. At $40, it's at the higher end of budget locks, but it will do the trick.
Following the same u-lock philosophy as Kryptonite, this lock comes with a few extra features for a few dollars cheaper. Using a double-bolt system, this lock has to be broken on both sides before being opened by a thief, and it comes with a cable to loop-through and secure whatever wheel the u-lock itself won't protect. Best suited for bikes with quick-release wheels, this lock also comes with a mounting bracket like the Kryptonite, but has five keys instead of two, one of which has an LED light for night-time lock-ups.
Master Lock Hardened Steel U-Lock
U-locks are best for the city. And shorthand is, the higher the price, the better the security, but if $40 is still a bit of a stretch and you still want something semi-secure, then Master Lock's basic u-lock will still provide a strong deterrent. It doesn't come with the same kind of warranties as do the OnGuard or Kryptonite locks, but it's only $25 and it keeps your bike safe and locked up. That's what you want. It comes with two spare keys as well as a mounting bracket, so transportation is a breeze.
If you're not in the city, a cable lock is usually all you need. Bike thieves usually don't venture out into the suburbs because, strangely enough, invisibility is easier in the city. Because of this, bike theft is more rare in the burbs. Still, there will be the occasional person looking to steal something for a quick rush, so a simple cable-lock usually suffices to prevent this. The key-entry OnGuard Doberman cable-lock is easy to maneuver, easy to use, and easy to cart around. For twenty bucks, it's definitely affordable.
Again, a cable lock won't get you very far in the city, but everywhere else, it's all you really need. Small town thieves will often take bikes because they're bored and it's convenient, so as a trip-up, a small and discreet cable lock will thwart these types of disinterested thefts. If this is all you feel like you need, then the $15 Bell combination cable lock will get the job done. Don't trust your $1,000 road bike with it, but for trips to the corner store, it affords you piece of mind.