Tali mentioned this last night at dinner, and I was surprised that I had not heard about this when it happened about a year ago.
In Nov 2007, armed robbers broke into the Pelindaba facility (in South Africa) which contains a stockpile of weapons-grade nuclear fuel (a.k.a. highly-enriched uranium or HEU).
Check out the 60 Minutes story here. Not too surprisingly, it sounds like staffing is a major problem at Pelindaba.
The US has offered to "help secure" the site, but as the Project on Government Oversight points out, the US has some weak areas that might be worth focusing on first. The US is also offering to "downblend" the HEU so that is not attractive to terrorists - something that the US has not done to their own sveral hundred metrics tons of HEU.