I love my flash drives, I really do. Unfortunately, I have a bad tendency to either break or lose them. Which means that there are more than a few such drives just lying around somewhere waiting to be picked up. My advice is not to pick them up, not because it contains compromising data about myself, but because the drive you found could have been planted there to steal your cash.
No, you're not actually going to get mugged by one of these little guys. It's actually far worse than being mugged, it empties your bank account. One such drive was found in a parking lot in London, it contained a trojan that installed itself as soon as the drive was inserted into the PC. It then recorded online banking info, and sent the information back to the owner who promptly relieved the victim of their savings.
This actually reminds me of a story I read about a year ago. It was written by a security firm that was hired by a company to see just how secure their operation was. One of them got the bright idea to employ this same tactic, only it recorded network login information. So they scattered a few of these around high-traffic area and within a couple of hours had all of the user info they needed to gain access to their network. It's a really ingenious idea, too bad it only seems to be good for evil purposes.
Trojan USB flash collects banking data [via coolestgadgets]