When my company started requiring encrypted thumb drive, it issued every employee (tens of thousands) with a Kingston® DataTraveler® Elite – Privacy Edition 1GB drive. Around $50-60 for a 1GB drive, available up to 8GB.
No driver installation, works on any computer you plug it into, as long as you have the password. 128-bit hardware-based AES encryption and automatically formats the entire drive after a certain number of failed password attempts.
http://www.kingston.com/press/2006/flash/03a.asp