USB drives serve a lot of purposes, but few people know that you can turn an average USB drive into a security feature with very little work. Using a free piece of software called USB PC Lock Pro you can have your computer automatically lock itself the moment you step away, and all you have to do is remove the USB drive.
USB PC Lock Pro comes with almost 10 plug-ins for doing things like muting the audio on your computer or putting your Windows/MSN Messenger status to away. It can also pause anything playing in Windows Media Center, and upon your return the media will begin playing again.
You can pick and choose which of the features you want to enable, and from what I gather this should work with any USB drive. It can also be setup to recognize multiple USB drives.
USB PC Lock Pro is completely free and for Windows only. It needs to be installed on the computer that you want to use it on, and not on the USB drive itself.