It's safe to say that most people lock their bike up with it sitting in an upright position, which it can't be moved from until it's unlocked. Realizing this, the folks at Abus went and created an anti-component-theft system called NutFix. Once it's installed, the only way of removing a bicycle's wheels and/or seat involves turning the whole bike on its side.
NutFix replaces the existing seatpost clamp, along with the skewers and nuts (or quick-release levers) on the wheel axles. The system uses nuts of its own to secure the seatpost and wheels, although those nuts are in turn covered by anodized aluminum caps. As long as the bike stays upright, those caps cover the nuts, making them inaccessible.
Once the bike is laid on its side, however, a locking pin within each cap slides out and disengages, allowing the cap to be pulled back so the nut can be accessed. From there, users just need a regular wrench to turn the nut – by contrast, some other component-locking systems require the use of a product-specific tool.
Although it was first announced last year, NutFix has just become available in stores. Prices range from US$34.99 to $69.99, depending on how many bike bits you wish to protect.
Kryptonite's WheelNutz offer similar functionality, although they require the bike to be turned completely upside down.
Source: Abus
… and Zéfal with its Lock 'n Roll.
I'm told they're 1) not very secure (a good hammer does the trick), and 2) can get jammed.
A better option is to get secure, custom nuts from Pitlock, PinheadComponents, etc.