I watched a feverish discussion on an internet site recently where someone had left their keys in the car, it had been stolen (d'uh!) and then they wondered why their insurance didn't cover it.
Most motor insurance policies contain an exclusion clause (or a condition) that effectively removes cover for theft, attempted theft and malicious damage if the ignition keys or key fob were left in or on the car. The wording is almost verbatim if you look in an English insurance policy. In the US it's normally a little more obscured, via phrases such as "ordinarily vigilent" or "at fault".
Whilst many insurance companies will hide these exclusions in the fine print, some are a lot more open about it, going so far as to give you extremely un-subtle hints right up front. For example, here's what Geico has to say:
When you contact GEICO, have the following information available: Location of all keys to the vehicle before and after the theft. (source)
That's a pretty big hint. It's posted on their website, in all their documentation and on the insurance card you carry, right under the 1-800 number.
AllState are similarly obsessed:
It helps if you can give a good description of your vehicle, the location of all your keys ...(source)
Every insurance company has these words prominently in their documents and websites: Always lock your car and take your keys with you.
I'm sure if you took your insurance company to court, they might eventually pay out, but the general rule of thumb here is this : if you're a dumbass and your car gets stolen as a result, don't expect to be covered.