While the idea of enclosing a USB memory stick (aka pen drive) inside a LEGO brick isn't exactly new, this instructable,
is worthy of inclusion due to the amount of people who were subsequently encouraged to build their own. Therefore, it's worth reading for the comments, as well as the article. Lots of other pics, there.
And remember people, if the comments illicit a tl;dr, just remember to not encase the USB case entirely - it needs air holes to prevent it from overheating.