In the US what you usually find is the ArMax bundle which comes in a little tin. It has the Armax software DVD (needed to transfer replays from the regular memcard to the USB drive) and a USB flash memory stick. It definitely works with their USB drive and may or may not work with others. Some flash drives can be used for Photomode and some cannot, so how well the PS2 talks to them depends on the formatting of the flash drive.
I would just go with the ArMax and drive combo, even though you can probably get a larger USB/flash stick for a few dollars less.