iXi Bike seems like the most convenient, and highly designed collapsible bike on the market. It collapses with a patented interlocking system that seems extremely simple to use. Starting at a little over a grand, it's a bit pricey-- but that's what quality craftsmanship costs these days. It boats an aluminum frame, foldable pedals, and a slew of other adjustable and interchangeable features.
Update: A Coolhunting reader tipped us off to the Giant Halfway, a less expensive alternative with a few perks. He rides his bike 30 miles home from work, and sneaks it on Chicago's light rail system without any trouble.