speeds on a flash device can be greatly affected by how it is formatted! for large files a larger file allocation unit size is preferable, but if you have a large allocation unit size and try to transfer a bunch of small files it can take hours and each file can actually take up more space than its actual size.
as far as brand goes i got one Sandisk Cruzer, a Newegg.com brand (ya they actually make there own brand keys), 2 PNY Optima pro gold, and a no name one off eBay for $1. the Cruzer is noticeably faster than the Optima and i haven't really tested the newegg as im using it for readyboost because vista said the optima was too slow.
Another option if you need big space is a 10k rpm 3.5" or 7.2k rpm 2.5" internal drive in a sleek Vantec external case that has e-sata or firewire.
Most 10k hdd's require active cooling or at least air-flow, something most external enclosures lack.
For fast storage devices USB2 is the bottleneck.
Usb 2.0 caps off at 450mbps. this is a bottle neck, but when transfering to a usb key you will never see 100mbps.
i would honestly recommend a usb harddrive unless your prone to droping things. you can find an 80gb under $50 on newegg and there not much bigger than a deck of cards and a crap load faster than any usb key.