At IBM, due to the sheer number of Thinkpads lyring around on desks, all laptops are supposed to be secured to the owner's desk using a Kensington MicroSaver, simply to stop people walking in and grabbing a pile of laptops.
The first hit on Google for "Kensington lock" was, t the time of writing, a Digg post about picking Kensington locks, the essence of which is: Cardboard tube with the same diamter of the lock and some jiggling.
My 'lockpick', fashioned from a pencil, a few bits of scrap paper and some sellotape (all of which were lying around on my desk at the time):
With this, and about 5 minutes trying to get the technique right, I managed to get the lock off my laptop.. repeat attempt (knowing which way to 'lean', which you can work out easiest by looking at the key, but that's cheating, of course..) took about 30 seconds to get the lock off.
So much for not being able to just grab them off desks..