I loved this CNet article on the security risks of things like USB drives, iPods (etc, etc) - the security people are worrying about the risks of having them in the office:
Connecting the gadgets to work PCs could lead to a number of unwanted scenarios, Laudermilch said. For example, malicious code that crept onto the device at home could enter the corporate network unseen by the firewall or intrusion detection software, he said.
Also, a disgruntled employee could copy confidential information to the device and walk out with it. Classified information on a mobile device could be a business risk even when used by loyal workers, when their gadget is lost or stolen, for example.
As opposed to, say, connecting remotely via VPN and doing the same thing at home. If you have any staff working from home offices (or any staff that ever travels), you already have this problem. Banning devices from the office isn't going to solve the problem - but it will irritate the staff.