It's late and the evening train is packed with commuters. Eager to get home, you hurry out the carriage at your stop, leaving the remaining people to jostle for the free space. In your haste, however, you drop your USB key. The man you sat next to you picks it up, curious to see how he can profit from his discovery.
How anxious does the scenario above make you? Do you have anything stored on your USB that a criminal could use to rob, blackmail or publicly embarrass you? I'd wager there's something valuable there. It could be personal or professional, but if it's easily accessible, it's vulnerable.