When you are in your hotel room, always use the secondary locking device that keeps the door from being opened even when the person outside the room has a key. I was staying at what most people consider a nice hotel (Embassy Suites), and some guy came walking into my room one night.

Turns out he had stolen a pass key that was left in plain site by the manager of the hotel bar. This guy had broken into something like 20 rooms and was stealing laptops from people who were not in their rooms. He was knocking on doors saying "Housekeeping" and then opening the doors. I could tell something was wrong when he did this, so I called security and the guy got arrested.

But even though this guy got arrested, it highlights how easy it is for someone to steal a key (this guy was totally drunk and he still managed it) and get into your room. So you should always use the secondary lock to keep predators like this out of your hotel room.