Thieves look for the brand names most in demand, and this helps to thwart that. I got some bicycle-sized stickers and slapped them on. You can get these at Critical Mass , at bike shops, skate shops, and wherever political buttons and stickers are sold. A variation on this is to find some cloth tape, electricians' tape, or even duct tape, and wind it around the frame in zany patterns. A similar approach is to give the bike an idiosyncratic custom paint job.
Components are targets for theft in their own right, especially if they look new.
Shimano, Sachs, StealMe, etc. I cover these with stickers. The official way to lock the bike is to take the front wheel off and lock the frame and both wheels to a stationary object. Don't leave empty spaces in the U-lock, where a thief can fit a scissors jack or a leveraging tool in. This generally means getting a lock that's not much wider than one or two wheels, plus the frame, plus the stationary object.