Here's my small collection, arranged in order of capacity:
128 Mb promo, unknown brand. I got it for free when I bought an AMD Athlon CPU/mobo combo many moons ago (2003-ish?) for my "homebrew" PC. It developed quite a few bad sectors over the ensuing years, so I don't use it anymore; I keep it for the nostalgia.
1 Gb Lexar Firefly "JumpDrive".
4 Gb Toshiba.
4 Gb Sandisk Cruzer.
8 Gb Sandisk Cruzer.
8 Gb Gigaware from Radio Shack. It was on sale; otherwise I wouldn't have bothered. (Part of me misses the old Radio Shack... y'know, back when it was useful? But I digress...)
Out of all of these, I've only had to buy two: the 4 Gb Sandisk and the 8 Gb Gigaware. The other ones were gifts of one sort or another.
The one I use most is the 8 Gb Sandisk, by a considerable margin; it has the fastest read/write rate of all of these, and is big enough to hold an entire DVD image.