Are you talking about a flash drive that you plug into the USB port?? They are also called jump drives I think.
I had a Dell one and I have one that is a no name brand that I just picked up at Kmart. I don't think there is one that is necessarily better than the other but they do come in a lot of different sizes.
Caveat...If you are moving large files like videos these type of drives might not work even if the drive size is larger than the file you are trying to move. This has to do with the way in which the drive reads data. Anything over 4 GB will give you a bit of a headache.