The api key gives you access to all mailing lists in that account.
I mentioned this to Mailchimp as a security concern, but their representative didn't seem worried.
I'll be using SSL, however am I being paranoid, is this just not something to lose sleep over?
For more background, here's the discussion I had with Mailchimp support: http://groups.google.com/group/mailchimp-api-discuss/browse_thread/thread/a868a0f48e309930/7886904dd01ad640