Bicycle theft is more endemic to some cities than others. In Berlin, bicycles don't seem to be stolen very often, and you'll often see unlocked bicycles parked at the sides of roads... mostly temporarily, to jump into a shop, but sometimes for longer periods with careless confidence. It seems to be as much an aspect of German character as anything: where as I, an American, tend to have the feeling that anyone who doesn't lock their property down kinda-sorta-deserves to have it stolen, the average German wouldn't even consider it.
On the other hand, a few hundred miles away in Amsterdam, I have friends who tell me that they see no point in spending more than five euros on their bicycles, so invariably certain is any stray velocipede to be stolen. One friend of mine habitually buys his bicycle back every few weeks from the same junkie who stole it. The Dutch sigh and blame the problem on a lot of transient drug addicts, but they accept their plight: the Dutch have a long history of being the victims of bicycle theft, going all the way back to the mass German bicycle thefts of World War II... which they still mumble dourly about during Germany vs. Netherlands football matches. For some reason, the Dutch have been cursed as a people who are not allowed to own a bicycle in peace.
In any city, though, there's a few common sense rules for not getting your bicycle stolen. Always lock it up. Spring for a good lock. Bring it inside when you can. And, most importantly, try to buy a bicycle that looks bad but is actually quite good. Used bikes, in other words.
But what if you've got a great new bike? What then? MAKE has an article up, giving a blow-by-blow account on how to absolutely ruin its finish while maintaining its structural serenity. I can't see a lick of sense in destroying the finish of a new bike when you can buy a good, used bike pretty easily, but I feel a certain ghastly fascination watching a gorgeous bicycle scraped, sanded and rusted to death. Torture porn for bicycle enthusiasts, perhaps.