4. Encrypt Your Data
Portable Winamp lets you carry your music and playlists to any PC.
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Few people need to be sold on the value of encrypting sensitive data, especially if you're taking it with you. Many thumb drives offer hardware-level encryption, but there's no need to spend extra money to get powerful encryption if you don't want to; any USB drive can have its contents encrypted with free software.
Two packages I've used to do this are TrueCrypt (my favorite) and FreeOTFE (short for "Free On-The-Fly Encryption"), both of which I reviewed, along with similar products, back in March. TrueCrypt and FreOTFE both have a traveler mode that allows the binaries to be placed on the thumb drive along with the encrypted files; this way, you don't need to have a copy of the program running on the target machine. You will need to have administrator access to mount the encrypted drive, however, which may limit the usefulness of the encryption, depending on where you're using it.
If you're only using the encrypted files on a couple of specific machines, one clever trick you can use to further tighten security on the files is to assign one or more key files to the encrypted drive. Without the key files, the drive can't be unlocked, and the key files can be anything -- documents, music files, you name it. Be warned that the key files should be marked read-only to prevent them from being accidentally modified and thus invalidating them. (An interesting add-on for TrueCrypt is tc-wrapper, which automatically mounts USB drives with a given container, provided a key file also is available.)
5. Create A Portable Jukebox
Don't just take your music with you -- take your player with you, too. Programs like CoolPlayer+ can be installed on a thumb drive, but there's also a portable edition of the ever-popular Winamp that can be mounted there as well. It's actually packaged for use on U3 drives, but the archive itself is nothing more than a renamed .ZIP file, so you don’t need special software, other than a utility that deals with archives.
To use it, just unpack it into a directory off the root of the drive (I named mine Winamp), place any .m3u format playlists in another top-level directory named Playlists, and the music itself in (what else?) a folder named Music. As you can imagine, this trick also works for music players that can mount as removable drives, not just plain old thumb drives.
One peculiarity of Winamp when used in this fashion is that if you move from one machine to another, the list of currently queued songs may break, since they refer to a drive letter that no longer exists. If the queue is from a playlist, though, all you have to do is reload the playlist.
Finally, if you want the jukebox to run automatically when the drive is mounted, you can add an autorun.inf file to the root directory of the drive that will allow this to happen:
Note that the path to Winamp may be different depending on how you have things set up, but this should work as a basic template.