Be careful with your terms here, "Memory stick" is a Sony propritary flash technology and is not USB compatible, so there is no such thing as a "USB memory stick" . I see that name used a lot in group's and it seems to confuse those who have not seen memory sticks or USB flash drive. A couple of threads in groups people were thinking they were talking about USB flash card readers capable of reading Memory sticks when the USB flash drives were being talked about.
I bought my wife a Creative Nomad MuVo which is a 128M USB drive with built in mp3 player similar to what you describe except it does not have any exapnsion capability. There are several types of flash memory cards in use now, CF, SD, MMC, SmartMedia, Memory Stick, and a newer XD as well as the USB ones. You can get very small USB flash card readers which can read or write do one or more of the different flash memory types also. If your into electronic devices you can try to standardize, for example since you have an mp3player that uses SD, when you buy a digital cameraor PDA look for one that uses SD as well. I have a digicam that uses CF and I use it in a small computer system as an IDE drive so I have a few of those cards. I have an adapter that lets me read those in a PCMCIA slot as well.