If size is an important factor, then a Pen Drive type device can't be beat. If size isn't important, then do what I did - I bought the Dazzle 6 in 1 memory card reader/writer - compatible with every type of removable media out there right now. It's small, doesn't need drivers under WinXP (Win 2K will auto recognize the CF drive, but not the SM/MMC/Memstick one), and since it uses removable media, it's very expandable.
And if you already have a digital camera, it'll transfer the files easier and faster than whatever software you got with your camera.