I have the kensington lock too. Haven't used it as much I thought I would, but it comes in useful sometimes.
When I've gone to coffeeshops with either a macbook or ibook or powerbook, I don't usually take the lock. I just never ever leave my laptop unattended. It comes with me to the toilet (in my bag), or the counter or whereever.
When at the library, if in a heavy study session, I do sometimes lock it as if I'm concentrating on several books, I feel someone could lift it and walk off without me noticing.
In hotel rooms, I prefer to take my laptop out with me, or if not possible, hide it on top of wardrobes / under a pile of clothes in the wardrobe or all the way under the bed. (locked if possible, but its more important to hide it well.)
At work, we sometimes run a stall at various shows, and we ALWAYS use the lock, as even with staff running the stall, if staff are talking to a client, someone could use the distraction to walk off with the laptop.
In my opinion, a 3 quid wire cutter that fits in your pocket could cut through the lock cable in a couple of seconds, but the value of the lock is that most people don't carry one. For the people that do carry one, it gives us a valuable couple of seconds extra to notice that someone's trying to steal it.
The kensington lock won't stop it being stolen while unattended, but it works well in stopping someone lifting it and running off from under your nose.
).
