The three common lock types — U-locks, cable locks, and chain locks — trade off security, weight, and flexibility differently, and picking the right one depends on how and where you'll actually use it.
A U-lock (or D-lock) is the most resistant to cutting tools thanks to its solid shackle, making it the strongest choice for locking up in public for any real length of time. Its rigid shape means less flexibility in what you can lock around, and it's heavier to carry.
A cable lock is light and flexible enough to loop through multiple wheels and the frame at once, but is the easiest of the three to cut through with the right tool — better suited as a second, supplementary lock than a sole line of defence. A chain lock sits between the two: more flexible than a U-lock, generally tougher than a cable, at the cost of extra weight to carry around.