People invent cool things to with USB memory sticks: Squeeze audio players into the tiny cases, fingerprint readers or password protection devices.
I'm of much simpler nature. Take the plain-vanilla memory stick and install the fancy
Real-Time backup software. It can archive the last 999 versions of your valuable working files on the stick (and on other fancy hardware - the latter beeing more expensive than the stick...)
As an not-want-to-be-named colleague of mine recently encountered a head-crash on his notebook drive, I really appreciated this cool backup-gadget. Well-worth spending less than 30€.