In my experience it's a good quality U-Lock you want. Something like a Kryptonite New York, or Abus Granit. In the real world nobody's getting through either of these.
Both on Amazon for around £75. Not the cheapest but pretty indestructible and will last years and years. As long as you don't lock up to something feeble (which is why locking in closes is such a bad idea) nobody's getting your bike.