My needs are minimal, as I just wanted enough to carry some small files around, including transporting digital camera pics.
The digital pics are 5meg each, so I wanted enough memory to carry all that the cameral could hold (1GB).
I got the Kingston Data Traveler 1GB...for $15 shipped (newegg)!
Works great, has upload/download speed of 3mbps/6mbps, or something like that. It is fast enough for me, anyway.
It has a little LED under the Kingston symbol which flashed to let you know it is engaged (I didn't notice it at first).
If you don't need huge capacity and blazing speed, it is a great deal.