If you can't copy files that are bigger than 2 or 4 GB, usually HD movies and such, on to your USB key, it's usually due to the file system the USB key is formatted to.
In this day of age, it's very practical to have a Windows 7 installation on your USB key, for many netbooks and devices don't come with CD/DVD drives anymore.
If on your Windows 7 computer opening programs, saving documents, browsing the Internet and other every day tasks are getting slower, this is how you speed up things without installing an additional program.