Make sure it's thin. I got one of
these awhile ago. It's too thick - in a standard motherboard, the USB ports are right next to the PS/2, parallel, and serial connectors. This particular USB drive is so fat that you can't plug it in there if there are any other wires plugged in around it. It appears that Apacer has learned from this mistake - all their new USB drives are very slim.
That's about the only thing I can think to say. Other than that, it's little design flaws. Verbatim for example has a nice, compact thumbdrive - however, the long neckband thing that attaches to the drive attaches to the cap. So the drive itself can fall off, leaving you with a useless cap dangling from your neck. Apacer's drives attach on the proper side, so the thing stays attached to the cord.
I've never really used the security features of any of them, so I can't comment on that.
Oh yeah, while most of the things on the market are now USB 2.0, make sure that your thumbdrive is USB 2.0 compatible. Filling up 256MB at USB 1.1 speeds takes a LONG time. Note though, that you'll never get true USB 2.0 speeds, as the flash technology itself isn't fast enough, but it is still a good bit faster than USB 1.1.