Unless you bought it and know exactly what is on it, never plug an unknown USB drive into your computer. This goes for SD cards, CDs and DVDs too. Malicious software can run automatically to infect your machine, sometimes without you ever knowing it.
Did you find a USB drive in the parking lot at work, and are dying to know what is on it? Don’t risk it. Always have updated, current antivirus software installed on your computer, even you Mac users, to help prevent this sort of thing.