in a word, no. near as we know, no one has had a reasonable quality (i.e. not falling apart) u-lock defeated. cables are occasionally cut, and people have returned to find only their front tire remaining, but as of now, you can be quite confident that if you lock your bike up right, it will be there when you return.
I have yet to hear about anything in Pittsburgh that was U-locked (to an immovable object just as strong as said U-lock) that has been stolen. I think just about every “my bike was stolen!” story I’ve heard was a preventable one. I’d say the list went something like this:
1) left unlocked on a porch/backyard (even if you are on the second story, with no fire escape.. we have acrobatic bike thieves)
2) crappy cable lock
3) locked to a weak object: a post you just pick out of the ground, one guy u-locked to the tensioning cables of a telephone pole, and the thieves cut the cable
4) only locked part of the bike (whew, they left me my front wheel!)
5) and then there are the people who nick accessories you leave on the bike: lights, panniers, stuff in a milk crate