There's a small device that when plugged into many cellphone brands (and the list is growing) that can copy all data on the phone. In other words, if someone wanted to know every bit of data you have on your phone, they could ask to "borrow it for second", plug this thing in when you weren't looking and hand it back.

While designed for law enforcement, this device is available to the public for only ~$200

The rule: if your phone contains sensitive data, do not leave it unattended. If you loan it to someone to use because they tell you theirs is not working, make sure you actually see them using the phone and there is nothing connected to it.

(H/T to Schneier's Blog for the link)