It doesn't matter. A USB Drive is just like any other drive and therefore you have exactly the same tools to keep your data safe as any other drive (which includes your own hard drive).
The main one and most secure is encrypting your information.
Normally you don't do it with your desktop because you don't carry it around with you.
In the office I used to work, the policy was that all laptops had to have their hard drive encrypted whether the user liked it or not so when the laptop was lost/stolen, at least they knew that the information could not be used by someone else.
Same with your USB Drive.
Of course, for sensitive information, you should also have a back up copy