The latest episode of Hak5 has a segment where they show a USB key that steals password hashes, LSA secrets, and creates back doors within seconds on insertion. The show notes are pretty detailed.
For individuals, this is mostly not a very important issue, but I Guess IT Departments everywhere should take note, and make sure non-essential USB ports are disabled, as well as taking any precautionary measures.
httpv://www.youtube.com/watch?v=_rlC61qipiM