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You will probably have better luck with usb drives in Linux than in Windows. At work I needed to boot up a laptop into Mandrake Linux because the win2003 server didn't recognize a noname usb thumb drive. ( It was a freebee disney thumbdrive from NAB )
I don't know if you are interested in booting Linux from your USB drive, but, if you are, that, too, is possible. I have two Fedora 8 distributions on USB drives, one 80GB 2.5" drive and one 250GB 3.5 drive, that will boot if the BIOS in the system into which they are connected supports booting from removable media. (Note: In order to get a bootable USB Fedora, it's easiest to install from a Fedora Live CD, although the Fedora repositories contain the necessary tools for creating the boot sector information on the USB drive "by hand" if you want to take that route.)
One of these days, when they're cheaper, I'm going to see if I can get a bootable Linux system on a 4GB USB RAM stick.
I am currently using an external HD which has both USB 2 and Firewire 1394.
I personally find that the Firewire runs better than the USB connection.
It has a better sustained transfer rate and when I have other USB devices plugged in at the same time it does not slow down or pause.
As for ESATA, I haven't tried it since I don't have one.
So I would recommend getting an external HD with multiple connectors eg USB+1394, USB+Esata, USB+NAS, etc!
Also the drives with "one-touch" backup features may not work in Linux as it tends to load a driver on the PC, which tends to be Window$ only (you can still use the HD though)!
Unless someone has a Linux equivalent.