I use Western Digital, the basic ones, but I don't throw them around. They make some that are designed to take a beating, but they are bulkier and cost more, but will be more likely to protect your data.
On a side note, if your computer has "firewire" you can find firewire external drives, and the data is transferred much faster than USB connection, especially if you have videos, music (large files) to pull and push.