Hi Shyam,
I have been using a Kingston DataTraveller 2.0 256MB pen drive for the past 1 year. It works great... U know its even water proof(I accidentally left it in my trouser pocket, which is washed clean by a washing machine ). It is good anc comes with drivers. It even worked in Linux. Its proce is aroung Rs.2100.
I have been using Sony microvault for the past 1.5 years. It is pretty cool.
I have even dropped it couple of times on the floor still no problems with it.
but it is a trifle costly...
Saket
Transcend coz its much cheaper than sony with good support ....i haven't faced any problems yet ....and the newer once are coming with MP3 player also ......