First things first, though. Get a good bike lock. The U locks are popular for a good reason. Spend the money to get a good one.
Ideally you should use this to lock the frame and both wheels to whatever you find to fasten your bike to. Many bikes come with a quick release on the front wheel so that you can put everything close together. Take advantage of this so that all the important parts of your bike are locked up.
When you're considering location, the first thing you want is for your bike to be highly visible, but not in the way. You don't want people tripping into your bike. But the more visible it is, the less appealing it is to thieves, who obviously won't want to be watched.
Assuming there are no bike racks available, a common problem in my area, take a look at your options. A metal post can be a good choice. A well grown tree may work as well, so long as you aren't damaging the tree yourself.
Do not lock a bike to a chain link fence, small tree or any post where the bike and lock together can simply be lifted off, or the thing you're locking your bike to can be easily removed.
If you're going to the store on your bike, ask if there's a place you can keep it indoors. Some stores will let you do this. You'll still need to lock it, of course.
If you find there aren't a lot of places where your U lock will work, get a heavy duty cable or chain, at least 3/8 of an inch in thickness. These can give you more flexibility in where you lock your bike up.
You can also consider using two locks, just to complicate things for theives.
Don't forget to lock your bike up even at home... especially if you keep it outside or if you keep your garage open frequently. It only takes a moment to steal a bicycle.
And of course check with your local police so that you know the local laws about where you can and cannot lock your bike. There's no point in getting in trouble about how you protect your property. And if it says don't lock a bike to it, don't!
