Recently, one of our local weekly papers, "The Blue Ridge Leader" (no web presence) carried the following story in their Police Blotter section:
August 2: an ATM Visa bankcard was left at the Food Lion self service checkout and has been used numerous times in Washington and Maryland
Which shows that this new "do-it-yourself" solution opens up a new hole for identity "left-it-behind-resulting-in-theft". With a typical cashier, they usually will remind you to take the card when they give you the receipt, or if they don't, they will usually save the card somewhere so that later when you sheepishly call looking for the card, they can tell you it's with the manager.
Moral of the story: Don't leave the store without it (your card). One time, long ago, a friend (yes, I do have one or two of them) mentioned to me how they keep from forgetting their card -- once they take their card out of their wallet, they keep their wallet out and open until the card is put back in the wallet -- and I've since adopted this solution with great success.