Always try to keep the bike overnight in a place, where the thieves cannot drive a van next to it. If they can, then it might be gone in a few seconds, and no alarm or a lock (of sensible size to carry with you), will be any help. The risk is not usually very big, but it happens. Big cities in Europe, North America or Australia will probably have the highest risk. Lots of bikes stolen in Amsterdam or London, for example.
In many places around the world the accommodations will have some areas on the back, where it's safer to keep the bike than up front on the street. If you must keep it on the street, use proper locks, that attach to something solid, and also use a bike cover, which is a surprisingly effective way to 'hide' the bike from view.
Pecha72 screwed with this post 11-08-2012 at 10:56 AM