These things are so cheap nowadays. Just did a quick search on Newegg, and you can get 2gb drives for 5 bucks (not sure what the shipping costs are for each of these however).
I personally bought an 8gb drive for 20 bucks (+$5 shipping) this past summer, and that seems to be the norm. Just checked Newegg and you can get it for 15.49 shipped:
Check out MicroCenter or Fry's. I think Fry's has a 8GB thumbdrive for $8 or so. Then a 16 for $20. I bought my last thumbdrive from MicroCenter when i was in Cali and got a 16GB for $20 when they were going for twice that elsewhere. This reminds me that I need to get a couple myself.
If you get it online Newegg or Tigerdirect are the way to go. I personally love Newegg, but that is because I am very near a distribution center and can get items in one or two days pretty easily.