Including an USB extension cable is a good idea, who wants to crawl under his desk to attach the USB stick? I find 0.5m is a bit short, 1m would be better for bigger desks/more complex wire routing.
Attaching the lanyard is pretty straightforward. The clip seems to be of good quality and snaps well.
If you want to attach the OCZ Rally to your keychain you have to put this small ring into the hole of the stick.
I have been using a Sandisk Cruzer Titanium in the past and getting the keyring attached to that stick is pretty much impossible without scratching the surface.
Not with the OCZ rally. It took me about 30 seconds to get the keyring in; on the first try. Getting it out again is just as easy.