I love USB pen drives.They’re the modern floppy disc that’s great for running standalone software apps, recovery tools and your own personal data. As Australia’s Molly Meldrum (get well soon Molly) used to say: do yourself a favour if you’re storing personal data or data of a confidential nature.
Encrypt it.Please. It really isn’t a lot of hassle. And the tools to do so are readily available for free.
Truecrypt is an open source solution that’s cross platform too so most desktop flavours are catered for.
As I say, do yourself a favour and encrypt your data. It’s an insurance policy that costs nothing other than investing a little bit of extra time on your part. Here’s their How to.