I first heard of this on a radio news program in London some years ago. Robert (ZHM) told me that it has arrived in Newport so I'll add it in here.
You park your car in a car park and go off shopping or whatever. You return to your car and get in and start it. As you go to pull away you notice (in the rear view mirror) that there is some kind of notice on the rear window. You get out and go to see what it is. As you get to the rear of the car the 'perp' jumps into the driving seat through the door you left open (well you were only walking to the rear and back) and drives away in your car (you kindly left the engine running didn't you?)
Snopes.com reports this as merely an urban legend, however it is more likely to happen if the flyer is placed on the passenger side of a car as the driver (if alone) has to walk to the opposite side of the car to remove the paper.
There is the petrol station scam where the 'perp' jumps in, starts up and drives off with your car while you are paying for the Petrol (or Diesel or LPG) that you have just put in.
Also some people leave the engine running when they get cash form the cash dispenser. I have personally seen this happen one late evening a few years ago. It was only a couple of steps from the kerb to the cash point!
Easy to foil: Whenever you get out of the car take the keys with you, no matter how short a time you will be out for. (I tend to do this anyway as my car has a self locking / self alarming feature and I don't want the keys safely locked inside, protected by the alarm, while I'm outside!)