I've got one of these little UFO-like things. They're very small and totally self-contained so the cord is covered when not in use. It is an actual disc so you need to be a little more careful with it than a jump drive, but when it's not in use you can just throw it in your pocket and carry it around. It has a nice bright blue LED on top too.
Really handy for moving a good amount of data and I also keep a selection of useful diagnosis and repair programs on mine.