How secure is the Windows screensaver password? Seeing that screen saver passwords are used in the corporate world, is there any way of bypassing the screen saver after it is already running? Could a CD/DVD/USB be inserted and a program ran to close the screen saver that bypasses the password?
Possible intrusion methods to achieve this could be a hard reset of the computer, change boot priority, and insert media with code capable of bypassing login credential requirements.
(Hiren's boot CD or F4UCD for Win7 and earlier versions can do this).
Without restarting the computer, as GZBK said, if autoplay or autorun is enabled, then a USB may be recognized regardless of the computer being locked.
An additional method would require either a 0-day or unpatched vulnerability which uses the IP and/or MAC as a point of intrusion, making sure the malicious code has remote code injection abilities. With this RAT deployed against the system via the network, you wouldn't need to bypass the login, because you would already have access.
For practical purposes, the answer to your primary question is "secure, but with flaws."
You are better off using it, and using a difficult password, than not using one at all.