A friend of me lost his phone that way, so it does happen. (busy station in Amsterdam at 9 am).
I once received such a request. I let him tell me the phone number and the message and I made the actual call. (in the train)
I once made such a request myself (flat battery, on the platform at 6 pm, needed to tell that my train was 2 hours late). Fortunately the other one didn't make a big deal out of lending me his 40 euro feature phone. Composing an sms on a phone with a different UI is tough, though...
I'm fiddling with my phone most of the time when I'm waiting for something in public (often reading slashdot, see signature). I might be an easy target for someone who just sneaks up on me, grabs it, and runs away with it.