Photo Credit: http://www.flickr.com/photos/catorze/6738714533/sizes/n/
Many hotels use magnetic cards instead of room keys.
At the end of your stay at a hotel, do not return the magnetic key-card.
Take the key-card with you, and destroy it at the earliest opportunity.
The magnetic key-card contains all the information you gave the hotel: your address, your credit card number, the expiry date of your credit card, etc.
Anyone with a card reader (an inexpensive device, easy to find at any computer store), could access that information easily.
Make sure to take note of this information.