This article explains a pretty nasty device. It can take over your computer using remote code execution even it is locked. The author recommends putting your device to sleep when you walk away from it, but I can imagine that someone could just turn the device back on and plug this thing in.
The other suggestion is to cement the USB port so that it is unusable. I think that is the most secure thing to do, but it’s not always practical and USB ports can serve critical business needs. I think its more strategic to implement end point security that would block malicious devices and alert on abnormal activity.
http://gizmodo.com/this-5-device-can-takeover-a-computer-even-if-its-loc-1789062061
Very interesting article, Microsoft’s response to Tech Crunch was “Regardless of operating system, for this to work, physical access to a machine is required. So, the best defense is to avoid leaving laptops and computers unattended and to keep your software up to date.” In other words, you are on your own with this one, good luck.
https://techcrunch.com/2016/11/16/the-5-poisontap-quickly-completely-hijacks-even-a-locked-computers-internet/