USB flash drives are simply a portable hard drive, similar to a floppy disk, or optical disc.... They will carry whatever you want, as long as there is ample free space on the drive. They are cheap now too.... I got a 1 Gig drive for just under $60 like a month or 2 ago.
EDIT: I should say they are getting CHEAP(ER)... Compared to HDD's, they are expensive for their relatively small size...