I was inspired by https://www.thingiverse.com/thing:2516525, but I couldn't get his thing to work for me, so I built my own from scratch.
Aside from cool factor, I can't think of too many use-cases for this doohicky. I'm thinking this would be a good password vault. The Pi could sync up via its own network connection, and then the user could securely access his password through a USB network connection to the Pi. SSH, VNC, etc.
I've got though something like 14 iterations so far making fine adjustments, but it's in a very usable state. Printed on a custom Printrbot LC. The MicroSD card and freedom coin are for a size comparison.
As far as stretch goals, I got a small LCD for it, and I'd like to add a button to power the Pi off properly. I left the GPIO open for development purposes, but in the case of a password vault, that should be closed up.
You'll need a Raspberry Pi Zero, a USB stem kit, and you'll need to solder it up. Once you get the hardware assembled, you can add this case and some #4 screws and that's it for hardware.
Software wise, you'll want to take a look at these tutorials. The software is more challenging than the hardware by far, especially if you run into a host Windows install that doesn't want to play nice.
There are several good blogs and tutorials taking you through the setup of what to do with this, including troubleshooting. You could make a PoisonTap, USB Mass storage, serial console, or any other of a number of things.
And the obligatory Adafruit link: https://learn.adafruit.com/turning-your-raspberry-pi-zero-into-a-usb-gadget/ethernet-gadget