Travis Goodspeed gave a talk at 29c3 about forensic-resistant thumbdrives [1]. The idea is that the host OS can be fingerprinted by the pattern of reads it makes; the drive can return different data or erase itself if it looks like it's being imaged (sequential block reads).

Of course, you'd have to package your DIY thumbstick pretty carefully (and pot the PCB) for this to not look suspicious.

[1] : http://www.youtube.com/watch?v=qZtkANvDxZA