You can now buy LEGO branded USB drives by PNY in the shape of the classic 2×4 bricks. They come in sizes of 8GB & 16GB as well as colors of blue, red and yellow. These are fully compatible with LEGO bricks so you can use them as part of your creations.
Amazon currently has the blue 16GB version for $13. Thanks to our reader Scott for letting us know about these.