Buy a rubber dildo, cut a hole in the base, dump in some glue and stick the drive in there (connector facing out of course)
This makes for high quality security (who the fuck is going to steal a usb dildo) not to mention a decent lulz factor.
As for what to put on it, I can't think of anything. Esxcspeshseley since you didn't say what size...I assume 1gb? or 2? or more?