YubiKey USB security token

I recently obtained YubiKeys from Yubico. It's a USB hardware token able to act as a keyboard device to input characters (a HID) and also has a little button. It supports different modes:

• Yubico OTP Mode: Yubico implementation + server
• OATH-HOTP Mode: standard HOTP as per RFC 4226
• Static Password Mode: output the same static string
• Challenge Response Mode: no HID, software challenges the token and gets a response