Re: stolen bike
The problem with bicycles getting stolen is that police are usually no help, for two reasons: first is that they have no central database of bicycles and owners, and second is that many times the (former) owner of the stolen bike has no kind of actual proof themselves that they ever had legitimate ownership before the theft happened. So you have to try to prevent the theft from happening in the first place--because after it happens, you're usually SOL. Stolen bicycles are very rarely recovered.
A good U-lock costs ~$50 (Kryptonite, many models), a good chain lock costs ~$100 (Kryptonite New York Fahgettaboudit). The Kryptonite chain is hardened; the chain you buy at the hardware store is not. In spite of being thick, the hardware-store chain can still be cut with a three-foot pair of boltcutters pretty easily. The Kryptonite chain can be cut with boltcutters, but they need to be larger (4-5 footers, which most hardware stores don't even sell, and that aren't exactly convenient to carry around) and even then it still takes a pretty big guy to do it.