I use a padlock that is just wide enough to go on either side of the hitch latch.
At campgrounds -- not sure yet. I'll probably chain it too.
When it is on my car, my hitch itself has a lock on it (someone has stolen the tongue and ball off of my CR-V before). Between the padlock and the hitch lock, it should be deterrent enough.
I might use a GPS tracker as well, once the build is complete. I will use an old cell phone, and program the application in Java (if I ever get around to it). I'll make it so that the phone, when activated, will send me text messages of its current location. Alternatively, I can put a phone in the car, call 911, and tell them the situation and the number of the phone. They will contact the police, and track the stolen trailer with the phone inside to the thief's house.
The idea is similar to this:
http://www.accutracking.com/, which would work great for most people.