The drive I personally use is the 32GB SanDisk Cruzer Fit. It's been working well for me, sports a tiny footprint, and is available for only $20.28 (free shipping) on Amazon.
If you want something even smaller, and looks matter a little more, the Elecom Super-Mini USB drive is another option, though will cost you $43.40 for only 4GB. It isn't the most economical on this list, but it is available in a number of colors and is one of the best looking.
If you're looking for some extra reliability, the Verbatim Tuff-'N'-Tiny claims to resist water, dust, and static. It's also about the size of a penny, super thin, and available for $25.58 for 32GB.
Featuring the same form factor and water resistance as the Verbatim, the Super Talent Pico-C is another option with a higher bling factor. It's available on Amazon for $33.75.
The LaCie MosKeyto is another pricier option at $46.99 for 32GB, but unlike most tiny drives, it actually tethers its cap to itself. If you keep your drive plugged in, it's pretty easy to lose the cap, so it could be worth the price. The nice thing about the small form factor of these drives is that you can always leave them plugged in, even when you stow your laptop away, making it easy to copy over important files as you create them. Do you use a thumb drive as part of your backup repertoire? Let us know! (Top image: Ambika Subramony)