I also got a free one a while back, have to say I can really sleep at ease now even with significant $$ or BTC stored in the account.
Spent time researching how feasible it is to crack Yubikey authentication, seems to be very infeasible so I trust it for now.
Negative side, it's bound to Mt. Gox so you can't use it as a normal YK on any other site.
Not really that negative from a security standpoint.. I have evaluated the Yubikey solution and can confirm that a higher degree of both security and functionality is possible when it is used in a site specific fashion.