Most USB devices work fine with my MacBook Pro and Parallels. And I can switch USB devices seamlessly between Mac OS X and Parallels. The only device that I've had trouble with is my TomTom 720 GPS. For some reason, this device always auto-disconnects in Vista under Parallels before I can do anything with the TomTom.
Here's a trick to make it work though. Before launching your Parallels OS, open the Configuration/USB panel, and set your USB support to "Connect to Guest OS". This means that any USB device will automatically be connected to the Guest OS (Vista in my case).
Now, when I plug the TomTom 720 into my Macbook Pro, it is immediately recognized in Vista, and works as expected.