Samy Kamkar has a proof-of-concept attack through which he plugs a small USB stick into an unlocked Mac OS X machine and then quickly and thoroughly compromises the machine, giving him total, stealthy control over the system in seconds, even reprogramming the built-in firewall to blind it to its actions.
Unlike most hacks, this one is visually pretty spectacular, since the attack emulates a keyboard and mouse, making windows appear and disappear at speed, while phantom words appear in the terminal and a phantom hand clicks the mouse on interface items deep in the OS.
Specifically, when you normally plug in a mouse or keyboard into a machine, no authorization is required to begin using them. The devices can simply begin typing and clicking. We exploit this fact by sending arbitrary keystrokes meant to launch specific applications (via Spotlight/Alfred/Quicksilver), permanently evade a local firewall (Little Snitch), install a reverse shell in crontab, and even modify DNS settings without any additional permissions.
While this example is on OS X, it is easily extendable to Windows and *nix.
We even evade OS X's security - while they attempt to prevent network changes being done by just a "keyboard", and even prevent most applications from changing position (special authorized accessibility features must be enabled which we don't have permission to), we evade both of these with some unprotected applescript and carefully planned mouse movements. While a device like Rubber Ducky is similar, it's unable to mount the same attacks as it lacks HID Mouse emulation.