The price of standard USB memory keys may be falling, but if you need to carry large files around they simply aren't cost-effective. So you need to opt for a mini-disk-based version instead.
This Western Digital drive offers 6GB of space and is so small you can drop it into your pocket and carry it around without you even being aware of it.
With no security software, it acts as a large deposit disk, which is fine for sharing media, but less so if you need to carry sensitive data around. The USB adapter can be folded away, making it a neat design as well as protective.
The only problem with the drive is the frankly pointless rubber sheath designed to protect it, which is impossible to slip on. Other than this, it's hard to fault something so small and simple to use and with a great capacity for its size.