[Hampshire] Use of 4 Gb USB data stick for backup

I am considering using a 4 Gb usb data stick for regular (daily?) backups of
critical data (instead of burning DVDs at longer intervals). I understand
there may be a power issue when so much memory is involved.

Does anyone have experience of using such devices with Linux? What devices
would you recommend? Anything else I should know?

Regards,

David.