My hybrid came equiped with Pinhead skewers which have a security key like a car locking wheel nut. Despite dozens of uses (and quite a few punctures
) and me tightening them up like a gorilla they are lasting very well and there is no suggestion that they are likely to fail. The only down side is that they are a bit fiddly to use and if you lose the key or don't happen to have it with you you are stuck!
I happily lock my bick up with just a lock through the main triangle as the pinhead skewer 4 piece set protects wheels, seatpost and handlebar stem. Stupidly I normally leave the security key in the tool pack at the bottom of the panniers which stay on the bike when it is locked up