In an intriguing paper Fansmitter: Acoustic Data Exfiltration from (Speakerless) Air-Gapped Computers (also see this summary) the authors demonstrate that they are able to exfiltrate data from an air-gapped computer by modulating the rotation speed of the cooling fan. A similar thing has been done using a computer's internal microphone. Obviously this type of attack requires physical access at some point to install the malware.
What I don't fully understand is this: why go to all this trouble if you need physical access to your target anyway, and could then just extract whatever data you're interested in? What am I missing?