Good article on SecurityFocus about the rise of targeted attacks with specially designed trojans. A similarly themed story is running on CNET news.com.com.
Bruce Schneier has posted about it on his blog as well.

“If you haven’t noticed these attacks and you are a big company, you have likely already been attacked,” [MessageLabs security researcher Alex] Shipp told attendees at the Virus Bulletin 2006 conference. “Your problem is no longer how do I avoid being attacked, but how do I find where I’ve been compromised.”

Scary but accurate. If one wanted infiltrate a network, a trojan specifically crafted for that purpose which had never been seen before would probably be your best bet. OK, maybe not as good as free USB drives but probably a good idea.