Over the past few weeks I've heard a few mentions of bike thefts off of the bike car on Caltrain. A typical scenario seems to be this: a commuter brings his bike on board several minutes before the train departs. A no good, dirty, rotten scoundrel hops on the bike car, grabs the nearest bike and takes off.
At SF 4th & King, the bike is located conveniently adjacent to the train station exit, making an easy escape for the miscreant.
Ross D in SF was a victim in San Francisco, where idled trains are common. I suppose this can happen as well at stops where trains stop for a period of time. Some local and limited trains, for example, wait at Lawrence Station with the doors open until a following express train passes.
In light of the recent bike thefts, I've noticed some people are now locking their bikes into the bike car. This is against Caltrain's bike rules and it's inconsiderate to the other cycling passengers, but I can understand the concern.
It's easy to not be vigilant since every day is a party on the bike car, but Rob has posted his tips for Caltrain bicycle security here. The best takeaway, in my opinion? Watch your bike when the train doors are open.