Re: WTF??? Really could this just fall off...
That look like the locking hub for your 4WD. If the nut that holds it on is broken or missing, yeah, it could just fall off. On my '93 I believe the nut had something to do with holding the rotor on too. So, I'd check the wheel real good. You should take a few pics of the wheel hub and stuff so that people can see what you see so they can help you out better.
2004 XLT 4.0 4x4, 3" PA body lift, 32" BFG M/Ts, Dick Cepek DC-2 wheels, Euro tailights, self-painted headlight mod, NAV/DVD/XM/iPod stereo (Pioneer AVIC-D3), Line-X, Westin step bars, AVS bug shield and window vents