If you have a digital camera with a memory stick in it and a USB card reader for reading that memory stick on the PC you may also be able to use that. I used that method a while ago before I had a thumb drive.
Yeah that could work, so any USB headed mass memory device _should_ work.
though i have heard that everything like that does not work... but normal USB stick is your best bet, lets say some 128mb or 256mb model is very cheap, on long shot 1gb stick is reasonable if you need to transfer alot files and dont want burn cd just because you need to move few files.
just DONT get USB cable and dont connect your computer and PS2 together with it or result is fried computer and fried PS2 =P