The most common type of secure lock for your bike is a "U" (or "D") shaped lock made of tempered steel. But all U-locks are not created equal. Cheaper locks are often soft steel and can be broken with common bike thief tools.
Bigger is not always better with u-locks. Though wider or longer locks seem easier to use they give thieves ample room to work or allow more leverage. Choose a lock that is just the right size.
Chain locks can offer more flexibility but may be either too bulky or less secure than a U-lock depending on their construction. Chain locks should be at least 3/8" thick to avoid being cut by wire cutters and coated with plastic or other softer material which will not scratch your bike.
Most cable locks are relatively easy to cut through and are not considered a sufficient means on their own for securing your bicycle. If you do purchase a cable lock, look for something identified as Flexweave or Kryptoweave. Cutting weaved cabling is more difficult than a straight strand cable.
Whatever you choose, buy your lock at a bike shop from a reliable manufacturer such as Kryptonite, On-Guard, or Masterlock and look for a guarantee.