Here's a low-tech way to secure your flash drive. The Flash Drive Lock uses a three-digit combination to restrict access to the USB connector on your portable drive.
These combination locks are commonly seen on luggage, and as most of us know, they aren't terribly effective. But if all you want to do is deter casual snoops while out for lunch, it should do the trick. For those who need serious security, there's always data encryption. The Flash Drive Lock sells for $9.80.