Oly.Bike’s previous post about Front Racks that hold U-Locks missed one good option.
The Specialized Globe Front Basket is reasonably light, attaches to most bikes, and (unlike your familiar Wald Basket) has a U-Lock holder.
I prefer the the looks of the newer Blackburn Local Basket, which also has a decent headlight mounting location. But the Globe Rack is a solid offering, especially for older bikes with narrower frame tubes and 25.4 mm handlebars. The Globe Rack comes in any color you want, as long as you want black.
Production of the Globe Basket has been discontinued by Specialized, but is still available from a few retailers. Specialized is blowing out their remaining supply for the silly-cheap price of $17. So get one while you still can.