It is amazing how cheap are USB-pens nowadays, when I got my first one, several years ago, one of 128Mb it was a small fortune for a student to pay for having such a thing :-), now you can find USB stick memories up to 8Gby and more in the size of a lighter for just 20 or 30 euros.
What I have been using recently is a new LG 2Gbytes memory-stick that I carry on with me all the time. Inside I installed the portable apps that I mentioned before and it is like having your full computer on your pocket. I always choose USB drives that have a retractable USB port, so it keeps well safe inside from possible damage or dirt.
LG is also a brand that I particularly like in portable devices, it is reliable and the quality and look of the product is ok. Speed of data transfer is pretty good, 480 Mb/seg and it is compatible with all operating systems but Linux, although compatibility drivers are already being made available on the net.
It is also very light, around 12 grams and resistant, which is something important when you carry it with you all the time so I believe it is definitely a good product :-).