Chinese researchers at the Beijing security firm Qihoo 360 have built 2 devices for about $11 each that can extend the signal from your key and allow them to not only enter the car but start it up and drive away. They call themselves Team Unicorn and what they are able to accomplish with so little is amazing.
This requires two thieves with one of the devices each, one near the key and one near the car. These devices can record and transmit data that is normally communicated between the electronic key fob and the car's keyless entry system. They are able to trick the car into sending out a signal to the key and then record the signal back that would be used to authorize entry into the car. Since the key needs to be in very close proximity to open and start the engine that signal is recorded and sent to the device near the car.
As reported in Wired, Team Unicorn is able to extend this signal as much as 1,000 feet. This kind of range sets the stage for thieves to use just about any store and parking lot arrangement as their work place. They could conceivably stand in line right next to you as they copy your key's signal and take off in your car without you knowing.
In these tests, Team Unicorn used a chinese-market BYD Qin and a Chevrolet Captiva, although the attacks are not limited to these models. Keyless-entry systems for many makes and models are made by the same Dutch company NXP, and similar systems are used in virtually ever vehicle.
Aside from paying closer attention to if the person next to you at the store is holding a weird home-made walkie talkie looking thing, there is something you can do to protect yourself. This is basically the equivalent of wearing tin foil on your head but hey, you might really like your car. Store your key in a faraday bag, a multi-layer conductive mesh surrounded by nylon and polyurethane. These block radio transmissions, are portable and only about ten dollars on Amazon.
In the end, hackers will always be around looking for new ways to steal your stuff. Identity is one thing but leave the cars out of this.