This is what you need: material: a very small usb flash drive (e.g. EagleTec USB Nano Flash Drive or Delock USB Nano Memory stick) (e.g. from http://usb.brando.com/eagletec-usb-nano-flash-drive_p00892c041d15.html or ...
In this tutorial I'm going to show you how to make your own Lego figure USB flash drive. I've seen people putting USB flash drives into lego figures before (e.g. here: http://www.etsy.com/shop/123smile), but never anybody using the bottom part as a cap.
I've made them for my family for Christmas 2009 and the really liked them (at least they pretended to ;-))
Check out this video:
UPDATE: Since 2011 you can buy the offical LEGO® Minifigure USB Flash Drive here. But considering the price and the looks of it, I still think it's a good idea to make them yourself.