Iron City sells some brand of anti theft skewers, they work well but are annoying in that if you aren't carrying the special wrench with you and you get a flat you're screwed... not worth it in my opinion, just lock your wheels... but if you're sold on it go for it.
i think any ulock is good for pgh... i don't think i've ever heard of a ulock getting broken here... if you want to spend the extra money go for it though. i use a kryptonite lock and chain.