Some malware has the capability of infecting flash drives, and/or external hard drives and then spreading to other machines. This is beginning to get quite common. Reminds me of the old floppy disk viruses. I like BV's idea of a flash drive. It's basically a locked SD card attached to a usb card reader, really a great idea. Now while this is a fool proof method of not allowing malware to write to the card, this doesn't fit tn the pocket too well. Microsoft has finally come out with an update for Windows XP, Vista, Server 2003, and Server 2008, already present in Windows 7, that disables AutoPlay for USB attached devices only. This is great because it leaves the CDRom AutoPlay intact. While you can't go around updating everyone else's machine you can update your own and possibly avoid infection from malware set to AutoPlay from your flash drive if it gets infected from another machine you stuck it into.
The update is available from here-->
http://support.microsoft.com/kb/971029Before updating your machine please read the Impact on end-users and end-user software.