I always keep a spare door key in my wallet. The ONE time I did lock keys in a car it was my mother'* car wich of course I didn't have a spare to The only thing more embarrasing then driving an Escort is locking yourself out of one. Had to borrow a slim jim from a mall rent a cop, I say borrow because he couldn't work it so I took it from him and popped the door in a couple seconds.
my truck came with a "courtesy key" which is a door key inside of a little plastic thing that is about the size of a credit card and fits perfectly in the wallet. i have to use it once or twice as well.
Oh yeah. Bailed me out more than once. I know that since OnStar is only going to support digital systems after Jan 1, 2008... which means that just about all OnStar systems prior to 2003 will be unusable.