IN my convertible I always left the valet key in the door pull where it couldn't be seen from the outside but once someone broke in they would grab it with the door and not have to muck up the ignition. No one ever broke in though. (had a nasty MD slash my rag top though...)
With my van I have keyless entry. That's good to enter the van for safety but not for driving. So I do have a set inside the van as anytime someone would perchance confront me for something nefarious, I can break the fob off and throw my keys at them and still get away. (Creatures of habit, a robber will instinctively go to catch something if you throw it and say, "Catch!") I always have my keys in my hand when walking to and from Mulligan in public.