beware of proprietary encryption
I always buy dumb USB sticks and do encryption on them from my PC. I distrust the U3 standard used to flog "secure" USB because it's just another example of Someone Else's Software that I don't control.
I currently use TrueCrypt, originally a Windows product but now available through a Linux GUI as well. There are also the free PGP and GPG encryption solutions. There's also a nice nice LockNote utility from Steganos, but it's limited to Windows.
No matter how carefully you secure your USB media, there are still data trace issues on the PC: when you decrypt, traces can be left in the OS swap space and/or temporary files which even when deleted can leave rescueable data in a filesystem.
There's also the issue of load-levelling on the Flash-based USB drives which may be a problem if the USB drives even momentarily contain cleartext sensitive material, but I don't know how serious the exposure is for lack of technical information.
My current solution is to keep a small harddisk partition to stage cleartext files on, and then wipe or shred the entire staging partition when I'm done with the files.
Of course, all this is whistling in the dark since my personal data is most likely to leak during a bulk theft from a vendor or financial institution, but I'm a bit of a techie and it's interesting to learn about.