I live in NYC and am really nervous when I park my bike for any extended period of time outside my view.
I have one of those super heavy chains that I try to lock directly from a sign to my bike. It's not always practical depending on where I am and coming from though. (it's really heavy!)
I also keep it covered when its parked. Less likely to draw attention. When I drive to work. I cover it and have a 15' cable that I go from wheel to wheel, through the cover, and have a steel cased lock.
Sounds paranoid but bikes are stolen ALL the time here. 3 already this year just at that motorcycle parking area, but i heard they were unlocked.
I have a guard dog disc lock that I use whenever the bike is parked out of my sight. That just slows a thief down though. If the want it bad enough they WILL get it. When I lived in Vegas I heard of 3 people pulling up in a truck, pick the bike up and put in in the truck. That used to happen quite a bit from what I understand.
I never go to the mall or movies. Thieves know you'll be away for an extended amount of time. Rotor locks aren't that effective anymore. Especially with bikes being lighter, thieves can simply carry it off in a truck. The best thing to use is a chain/cable lock and wrap it around a post or another bike or something.
Out here in LA when i go to the movies or the Mall i park right up close in the "no parking" areas. There is normally a lot of foot traffic in these areas and that should be enough including my guard dog disk lock to say "please dont steal me" to thieves.