Those small USB drives have so many names, pocket drives, thumb drives, USB Pen, Jump drives, and several other names, but when it comes down to it, we are all talking about a small portable, reusable storage media that fits in the palm of your hand!
There are a couple major factors you should consider when you select a USB drive. The size of the storage media you require, and the size and shape of the device itself.
With the costs of USB pen drives dropping all the time it's cheap and easy to purchase one with several gigabytes (GB) in storage. This will allow you to keep lots of your media, documents and pictures on this device. As an example, I have a 128 MB one that was the first USB Device I purchased, it works great, however its' capacity is far lower than I require. I like to hold a bunch of my MP3s on it, and I can only fit about 35-40 of decent quality MP3s. With the costs constantly dropping for these devices I decided to go get a 2 GB one, which gives me far more than I require for day to day transfer media. It's smaller than my original one (physical size) and faster too!
My next piece of advice is about the physical shape and size of the USB device you want to purchase. As I mentioned before I've had a couple of USB drives myself, but I've also used many that friends and co-workers have owned. There is constant problem with many of the drives, some of them are too large to fit in between the cables and along side other USB devices. I hate when the drives require you to move other USB devices or temporarily remove them just so you can plug in your USB jump drive. When selecting a USB device, find one that is as thin and narrow as possible! What I try to find is a USB drive that is as narrow and wide as the end plug on it. If your pen is as small as the plug in, then it should be able to fit without trouble in any PC. Usually the narrow ones are a little longer than the wider ones but they are well worth it!
So remember keep those two factors in mind when you are purchasing a USB device, the size of the storage media, and the physical size and attributes of the device itself. By knowing what you want a head of time, and knowing the possible problems you may face you can make a more educated decision and be happier with your overall purchase.