A firm called CNK Promotions can make custom USB drives filed with a liquid of your choice:
Custom Aqua USB Flash Drives, only from CNK Promotions have an acrylic body filled with liquid in your choice of color. Create custom floats in the shape of your product, logo, mascot... whatever you like!
You can get them in 128MB to 8GB capacities but you have to order a minimum of 250 units. Here's a cool example, a Budweiser USB stick filled with beer: