Most threats from USB drives come in the form of malware, most of which can be secured using the appropriate software (Bad USB notwithstanding). On the other hand, there is this thing: which is a USB drive designed to silently overload and short out computer circuits.
Designed by a Russian engineer, the USB works by drawing power from the computer while it is plugged in. This in turn charges capacitors in the drive that deliver a short burst of negative voltage into the system. The idea is that since the USB controller is usually connected directly to the processor, the negative voltage burst will eventually short it out and cripple the entire computer. The creator of this particular ingenious piece of technology has declined to talk about its applications, mostly because they involve frying computers.
Interestingly, the USB drive was built using off the shelf parts ordered from China. The original blog post that described the device also helpfully provided a link to the online store where the electronics and printed circuit board were bought. Thankfully, the schematics for the device have not been released; although it is not too difficult to imagine that some individuals will be attempting to duplicate it.
On the other hand, the inventor of the USB drive of doom is contemplating a Kickstarter project for his creation; but is still unsure of going ahead with it.