For business I use Safestick which is a proprietary encrypted memory stick with onboard AV etc, although these are expensive, we can manage these sticks from a central console which is useful for keeping track of who has what data.

For my own stuff I use Truecrypt to create encrypted containers on a stick. The good thing about this is that you can use them on any machine, you just open them up with the credentials you have created. With other encryption solutions the stick will only work in conjunction with the machine with which you encrypted it and to make sure you could recover the data in the event of the machine going belly up you need to back up the keys, which is a bit fiddly.

I'd be reluctant to store anything in the cloud.

I have a Kingston Data Traveller. It is a USB flash drive with and open and encrypted partitions. You have to load the password into you own computer and use the same computer the other end. However, should you want to use the flash drive between office and home then both computers can be programmed. I doubt if it can resist a drive recovery program but it will stop the casual observer looking in if he should find it.

Imation supply a locking program on some of their USB drives. As I recall, it creates a "hidden" partition on which sensitive data can be stored. To access this partition you need to enter your previously set password. A limited number of tries is permitted; once that is exceeded, it re-formats the partition anyway.

One useful aspect of this is that on the open partition one can store "red herring" data which could lead the finder to conclude that's all there is on the device and not to explore further even if they had a reasonable chance of success.

Google "Imation Lock" for further information.