I have a Kingston Data Traveler 4 GB USB Drive, and a few days ago I decided to use it also as a rescue boot device (to be bootable in order to recover data when needed), as storage device (to move around some files, used on windows, mac, linux, freebsd), to have on it some personal files which I would like to be encrypted (for example: my ssh private keys, my bookmarks, my passwords, ...), but also to have with me some applications which I use day by day (firefox, thunderbird, keypass, ...).
So here is what I did:
As filesystem I used Fat32. I installed System RescueCD so I have a bootable linux distro with a lot of useful utilities like Partimage, GNU Parted, TestDisk, kernel for i386 and also for x86-64, ... The instructions to install it on fat32 filesystem are here: Installation On USB Memory Stick, I used "Instalation from Windows" part.
Now I can create an encrypted volume, using truecrypt, where we store all my personal files, let's say 2 giga.
Ok, now I still have space to store some useful small iso images, like Clonezilla, Hiren Boot CD, Acronis True Image BootCD.
That's my setup for USB Memory Stick, I have it with me all the time, I can use it on any system, mac, windows, linux, I have a bootable linux disto on it, and also my personal files encrypted with some useful software. Maybe I should mention that Portable Apps Suite works well also with wine on linux.
I did a dd copy of my complete usb stick configuration/setup, immediately after I finished to install everything I needed, because if I will lose it, then to be able to recover everything quickly.