PNY Lego USB Drives Add 16GB Storage To Your Builds
They may be limited to just 8 and 16GB capacities, and they may be hamstrung by their older USB 2.0 interface. But, PNY's officially-licensed (PDF) Lego flash drives are cheap – $10 gets you the 16GB size – and they are fully compatible with regular Lego bricks. Heck, it even comes with one.
Colour options include blue, red, and yellow, though it seems only the blue ones (with red spare bricks) are available right now. The USB connector is one of those sliding, capless designs, and there's a loop on the back for attachment of the drive to your keychain.