In the Netherlands / Amsterdam it happens all the time - to be fair, people have adjusted to it, all you see is very cheap old bicycles, and it's not uncommon to just steal someone else's bike if your own gets stolen.
If anything Amsterdam probably has too many bikes. They're literally covering every surface that you can lock one on to, often several layers deep. They're almost like barnacles there. This is exacerbated by the old infrastructure that isn't quite up to par with cities like Rotterdam.
I live in London and I've had my bike stolen around once a year; four times now. I try to treat it as just a cost of life (the bike is still saving me money compared to train tickets), but it gets to be irritating. I've got a cycling holiday booked next month and I'm terrified my bike's going to be stolen just before I go.
Have you tried a wheel lock? http://en.wikipedia.org/wiki/Bicycle_lock#Wheel_lock Someone walking around London carrying a bike rather than riding it would look pretty suspicious -- wouldn't police stop someone like that and check the registration sticker?
The first time I just locked the wheel. Every time since I've used more advanced locks. It was never unlocked.
The last time one was stolen the thieves left the back wheel (locked to a stand) behind, unscrewed it and cut through the cable that was holding the frame. AIUI bike theft is mostly organized, they take a whole load and throw them in the back of a van, rather than carrying them around.
