We've covered USB key security systems before, but Rohos Logon Key looks like an interesting new player in the field for two reasons: cost and convenience. Like other USB key systems it allows you to control user logins with a USB key, but unlike other systems you don't have to use a dedicated key -- practically any USB flash drive will work. In fact, since it depends only on the USB device's serial number and doesn't store anything on the device, many other things will work as well, like iPods, memory cards, or dedicated USB keys.
As you can see from the video, when you pull the device you can set it to either lock the screen immediately or launch OS X's built-in screensaver with password protection. When you plug it back it, it automatically fills the password for you. It also works at the account login screen. Frankly, I don't really know how secure this solution is, since I don't know how hard it is to spoof a device serial number if you know what you're doing. On the other hand, for basic "step away from your desk for a moment" security it looks like it might be a convenient solution.
Rohos Logon Key is $29 from Tesline-Service and a demo is available for download.