Boot DOS
This handy tool from HP will format your USB thumb drive and copy DOS files over to it.
Boot Linux
You can also boot many flavors of Linux. Two of the easier ones to try would be Puppy and SPBLinux.
Boot XP
You can even set up your USB thumb drive to boot Windows XP thanks to Bart Lagerweij’s BartPE tools.
Store Passwords
Using Password Safe, you can securely carry all of your passwords around with you.
Move Shell Folders
Windows uses shell folders to indicate the default location for many types of settings and data. Move them to your USB drive for privacy and security.
Run Portable Applications
Run applications right off of your USB drive, making it easy to switch computers and keep your settings with you.
Sync With Briefcase
Use Windows Briefcase to keep your files updated and in sync automatically.
Launder Files
I once washed my Lexar JumpDrive Sport USB Flash Drive. To my surprise, it still worked and all files were intact.
Join the Swiss Army
You can even find a USB drive in a Swiss Army knife.
Store Data
Oh yea, you can also use your USB thumb drive to store data.