I just purchased the LaCie CooKey 4GB drive. So far I love it.
It comes with a small plastic cap which I've lost a couple times already.
The cap seems to keep showing up where I threw my keys last, or in the pants pocket which contained my keys most recently.
It has the look & feel of a real key, and works well on a keychain.
the 4GB version is $19.99 from the LaCie website
the 8GB version is $29.99
the 16GB is $49.99
and 32GB is $99.99