Obviously if someone gets a keylogger onto your machine they can get the master password you use for keypass - hence using an usb key PLUS a master password to unlock it. Remember to back up the usb key file somewhere though, or you won't get access to your passwords if the usbkey is lost/broken/etc.

I'm thinking having it on my mp3-player and on my phone is nice? That way I'll always have them with me too.