Can you recommend a U-Lock for a bicycle?

U-locks (or D-locks) are generally better than chains as they're harder to get through. Generally, you need a heavy-duty bolt-cropper to get through a D-lock so thieves will usually try to steal someone else's bike. However, beware of combination locks unless you're REALLY bad at keeping track of keys! Combination locks can often be picked very easily, and if the thief can do that, it doesn't matter how strong the lock is. Also be aware of what you're locking your bike to. The three times I have had bikes stolen have been because they either weren't locked to anything, or the thing they were locked to was insufficiently robust.

Kryptonite are very well-regarded lockmakers and they often have a guarantee with them. I'm using Specialized, Abus and a short chain to lock my bikes now.

According to Sheldon Brown "The best U-locks are the smallest. My favorite is the Kryptonite Mini, which not all bike shops stock. The Mini is much smaller and lighter than the more popular models, but just as secure. It may be even more secure, because of the limited room to put a jack inside it. It also gives less purchase for leverage-based attacks."

I use his locking technique actually: http://www.sheldonbrown.com/lock-strategy.html