I am worried about electronic traces of previous key generation being detectable.
Hardware backdoors could save the keys in memory.
Keyloggers, etc., could keep some trace of the keys.
If the device could be made cheaply enough and destroyed, it would provide that much more peace of mind.
For this reason I don't even like to use an external printer for paper wallets, but write keys down by hand.
Obviously, this is not a scalable solution.
If the device is yours and never connects to a network, it's not going to be a big deal. Even if it had a backdoor, if it never goes online, how is it ever going to snitch to command central? Same goes for your printer if its only connection is USB.
I would imagine that Casascius' trash might have some people going through it...
They'd find a lot of dirty diapers, but that's about it. Maybe soon it will have chocolate bitcoins. When I produced private keys, I made sure to produce exactly one copy. Each sheet was hand-inspected to insure uniqueness and conformity with the planned sequence. There were overprints, naturally, because those buggers are hard to line up in the printer on the first try, but they were overzealously destroyed and won't be found in the trash.
Most of them I destroyed by pulping with water in a commercial blender. My other thought was to torch them in the outdoor barbecue, but I didn't want people coming and digging through the ashes of my barbecue looking for private keys!