For years, decades really (2), I never attached anything to my SAK, despite the handy little key ring they all come with.
But a few months ago that changed, and I'll tell you why:
A few (or more than a few) years back my sister got me an SAK for Xmas, it included the nylon belt pouch with the Vic. logo on it, I tossed it aside since I've always carried my SAK in my pocket (that's part I of the story).
For the last 15 years or so, I've carried a Maglite Solitaire on my keychain (that's part II).The light comes with a 3" woven strap attached.
Now, with a cell phone, a Zippo, a money clip, spare change, cigarettes, and so on and so forth taking up space in my pockets, and with my keychain getting more crowded with keys, I decided to check out a new option.
Come to find out that the Tinker and the Maglite Solitaire, tethered together, fit perfectly in that nylon belt pouch. And personally, I think that two of the greatest accomplishments of civilized humans, the knife and the portable light, definitely belong together.

Anyway, what if anything is attached to your SAK, and why?