Personally I bought a very fast SD card and that works much better than the USB.
++ IMO they're cheaper. you can pick up a 4gb for about £30 these days, you'd end up paying quite a bit for a 2gb memory stick these days.
Actually, they are both such a commodity that I find either of them vary cheap.
If you are lucky enought to have a Micro Center in your town, they usually have boxes of them (the MC house branded ones) sitting at the registers. I got my 2GB SD card for < $15 and I think that a 2GB USB drive as around $20