My psr3000 copes with a 20 gig hard disk in a USB case, so a big USB stick ought to be OK. Try before you buy if possible. I'd format the memory stick on the S900 rather than a PC.
Regarding "which stick" I wouldn't get a memory stick with built-in "extras" like security or compression because although these features work fine on a PC they can seriously confuse the keyboard. Personally I buy cheap generic sticks but others feel it's worth sticking to big names for better quality, although in my experience the big names have this habit of including "extras" as previously mentioned so I remain unconvinced!
After that the biggest issues with a large capacity drive are the time it will take to read the directory structure, and the limit on the maximum number of files / folders you can have in a single folder. On the 3k and Tyros I don't think you can have more than about 250 entries per folder, anyone know if this is still the case on the S900?
Hope this helps!
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John Allcock