I wouldn't recommend putting your thumbdrive in liquid. But how about putting liquid inside your thumbdrive? Now that's cool.
That's exactly what CNK Promotions is offering. The merchandising company sells USB thumbdrives with an acrylic body (PDF) that's hollow and can be filled with the colorful liquid of your choosing. The drives can be made with a customized logo or mascot printed on the case and offer storage space up to 8GB.
Another thing about the liquid-filled thumbdrives is that they can float, which betters the chance of their being found when dropped in water. Whether or not they are actually water-resistant is unclear. However, thumbdrives are known to be very resilient. (My last one died only after I let it run through the laundry process three times--by accident, of course!)
Personally, I think the 8GB capacity is a little small, but I would totally look past that if the drive is filled with gin or vodka. How about you?