O-locks are pretty much just a nice place to keep your keys while you're biking. Everyone I know goes for separate chains, usually on the pricier end. From what I hear the ones that look like round padlocks are ridiculously easy to break, and the ones with the square lock part with two pins is considered among the best (but sadly also annoying to use).

But that's what multiple bike shop owners told me and they all wanted to sell me a lock, so I don't know if this is true.

Edit: Oh, I forget. O-locks are also very convenient if your bike is still within eyesight and you just want to avoid run-by-thefts. Perfect if you're popping into a shop for food or cigarettes or whatnot.