Sure. Something like this:
http://www.google.com/products/catalog?q=sandisk+thumb+drive&oe=utf-8&rls=org.mozilla:en-US
fficial&client=firefox-a&um=1&ie=UTF-8&cid=13421803714818114136&ei=0VGVTJawOtC2ngeJrujfCA&sa=X&oi=product_catalog_result&ct=result&resnum=3&ved=0CDkQ8wIwAg#
Hopefully that link will work for as long as it takes you to check it out.
You can get a better deal if you wait for a sale at a computer store, but you can buy these things anywhere. Wal-Mart carries the 8G model for about $20.
I have a bunch of these Sandisk models - but they come with some bizarre "U3" software that can be removed. That's for installing "portable" applications, something that I'm not interested in and you probably aren't also. Other brands don't have that useless software, but I like the "retractable" USB connector on the Sandisk. No cap to lose. But they're all about the same price.
If you plug one of these things into a USB port, it appears as a disk drive. Drag files to it. Right-click on it in the "Computer" panel, and choose "safely remove" (actually, that's probably not necessary, but I do it) and unplug it. Then plug into another computer and get the files off.
I use them for transferring data, and also for backups of stuff that I install a lot on various machines. Great for sharing stuff with friends too. Copy pictures or such before you visit someone, and they can very easily view them on their computer.