There have been successful attacks on locked macs via the thunderbolt port.

I'm thinking of one in particular which I can't find at the moment, but I remember seeing a really fantastic video where one guy described in detail how he reverse engineered the mac thunderbolt interface and was able to flash malware bootcode on to it even when locked. Once that malware was installed, it could do pretty much anything, including get encryption keys to your hard drive, intercept all keystrokes, etc.

If anyone has a link to that, please post it here.

Also, there this:

https://news.ycombinator.com/item?id=7123121