Two options: get a USB thumb drive that has encryption built-in or get any old USB drive and add encryption.

I recently lost my thumb drive and while it was fairly empty, it did have the scanned signature page of our tax return. My next tumb drive will absolutely have encryption (or password access at the very least).

Drives with built-in encryption (hardware based AES or better)
SanDisk Ultra® Cruzer® Titanium™ Plus
Cruzer® Professional
Cruzer® Enterprise (hardware-based AES but the entire partition is forced encrypted)

Kingston has several models (bottom of table) that have hardware-based AES, meet US gov't specs etc. The DataTraveler BlackBox meets data-at-rest agency directives. "It's FIPS 140-2 Level 2 certified and features 256-bit, hardware-based AES encryption, enforced complex password protection and device lockdown after a specified number of invalid attempts, to prevent brute force attacks."

Kanguru has a few models including two with a fingerprint reader. ^

IronKey IMHO is just plain fugly!

For encryption software to add to any old USB drive, I'm going with TrueCrypt which has been mentioned several times on FT. There's a tip about it on TI blog.

Note too that you can create encrypted TC partitions on your laptop for safe storage of the SAS datasets. I have a cousin who does data analysis for DOJ and other LEO agencies plus work on federal grants. He uses an external USB hard drive that his university IT department protected with whole disc encryption. He then either gets his datasets by DVD and copies them (then shreds the DVD) or plugs the drive directly into the host agency's network.