It really depends on how much you are willing to spend and what you are looking for. I have four memory sticks; a 256MB Centrios, 1GB Impact, 2GB SanDisk U3 Cruzer , and 4GB My Flash A Data. My first one was the Centrios which holds all of my documents quite easily and a quarter of my pictures. It's quite resiliant (hasn't got a scratch after 4 years) but the lid doesn't fit too tight and I'm always afraid of losing it.
I upgraded to the Cruzer because my pictures became too much for 256 measly MB's. One thing I noticed about it was there is no lid BUT the deploying mechanism scares me (I think I'm going to break it every time) and sticking it into a port can be frustrating because it tends to fold back into the stick. Another thing I noticed was for two Gig's I technically only got one. All of the programs on the U3 took up most of one Gig so I formatted it and now it not only works on Vista but also has two whole Gig's to use up.
I haven't really used the Impact that much. The style is really ugly but it doesn't come with any programs on it and so far has worked fine. There is a possibility of losing the lid on it as well even though it's stuck on there pretty tight.
Finally, my biggest; the A Data. I found it cheap at my college store which might be impossible other places but the clear, flashy design is really nice and esthetic. The lid confused me for at least half an hour before I figured it out (that may just be me, though). Even if you lost the lid on this one, the string goes around the actual USB so there is no fear of having a lid with no stick. The A Data, too, came with no memory guzzling programs.
I do have a portable hardrive (160GB Maxtor OneTouch 4 Mini) but I'm not really impressed with it. The size and style is perfect AND it was on sale but it has a lot of programs and no easy manual for using it.
Hopefully this extra long post helped :-