WD: a "hand drive"
These devices are getting to be affordable, small, and high capacity:
http://www.wdc.com/en/products/Products.asp?DriveID=199
I own one of these and I love it. It really is as small as it looks, and it keeps well in a small pouch in my backpack. I bought it from the WD Store but I'm sure you could find it 40% off at some discount store online (although if it breaks, good luck getting any help from them.)
For comparison, it's about two thumb drives thick and one and a half thumb drives long. Depends on the size of your thumb drive of course. I haven't (intentionally or accidentally) given it a physical beating to test its ruggedness, since it is an actual hard drive and not a stick of flash RAM...