Windows Vista comes with a cool feature called "Readboost", a fancy name for using a USB memory as a page file. The page file still exists on disk, but is also maintained on a USB memory since the access time is faster. Normally the disk have higher transfer rate, but it takes time to find where it should start to read, so there is a slight performance boost to access small amount of data from the USB memory instead.

There is just one quirk with this, the USB memory needs to be fast enough to be used by this feature in Vista.

Here is a link to a site which maintains a list of USB memories that works (and dont work) with Vista Readyboost.

Link

If you want to read more about Readyboost there is an excellent article here:

Inside the Windows Vista Kernel: Part 2