We recently tested a number of USB keychain storage devices (USB mass storage devices that are also branded as thumb drives). We purchased them at a local computer store. Costs were US$30 to $65. We found that the following devices worked well under CE 4.2:
SanDisk Cruzer Mini 128MB keychain storage
Memorex ThumbDrive USB flash drive 1.0
Lexar JumpDrive Secure 128MB
PNY Attache USB 2.0 Flash Drive
One device that CE did not recognize was CompUSA's "128 MB keychain storage." We weren't able to determine the reason for failure.
Related topic: Early discusson of USB keychain storage, topic 755