U-locks are much better, but no lock is unbreakable. As you’ll see in a recent thread, a determined and prepared thief can break a U-lock too.
A U-lock can provide deterrence because it will take longer to break than a nearby cable lock. A thief will likely go after the least secure bike in the vicinity, or they will go after the most expensive-looking bike. You may also want to remove the seat and bring it with you, so that a thief might decide that your bike isn’t worth stealing. I wouldn’t rely on this too much, but it’s a simple thing you can do.
Note that thieves don’t always go after the most expensive-looking bikes. Sometimes they are in a hurry and just grab the first bike that catches their eye.
http://bikearlingtonforum.com/showthread.php?7865-Thomas-Dolby-s-bike-stolen-in-Baltimore