A word of warning: the ones I've used start over at the beginning of MP3 files (from USB, SD, or CD) whenever the radio is turned off(or loses power) and back on. That really sucks when you want to listen to a half-hour-long podcast (in one file) on a 15-minutes-each-way commute. You spend several minutes of the return trip trying to fast-forward to where you left off.
The solution for this is a normal MP3 player plugged into the aux input for those files: most real MP3 players keep their place within the file when turned off. I keep all the talk stuff on my Muvo for that reason. (Don't remember which my cell phone does - I have a BT FM modulator for the car, but hardly ever use it except for long trips.
My Alpine doesn't do this. It picks up playing exactly where it left off when it powers up, both in CD and USB mode.
As to thumb drives: almost any thumb drive SHOULD work, but I bought an 8gig Imation Atom thumb drive specifically for use in the car and all it would do is display "ERROR", so I went back to my 4gig Sony MicroVault. The Atom works fine in my PCs and PS3, however.
Also, make sure you're aware of any file or folder restrictions your head unit has. My Alpine has a file limit of 100-songs per folder, so I had to split my songs up into 3 different folders for it to be able to access them all.
