You'll never regret having too much space on your USB flash drive. While price obviously increases with capacity, you'll pay less to jump from 8GB to 16GB, for example, than you will should you have to buy a second 8GB drive later down the line.
Many drives come with some kind of data security, including password protection or even fingerprint scanning. The level of security you need will of course depend on what you're putting on the device, but you should look for a drive that has at least password protection. A flash drive's diminutive size may be convenient, but it also makes them notoriously easy to lose.
Another helpful safeguard is a manufacturer's warranty, commonly found on most USB flash drives. Manufacturers' warranties can range from one year to a lifetime, and will protect against product manufacturing defects (all warranty terms vary, so check the fine print). However, warranties for flash drives are only worth it if they're already included with the device; don't bother purchasing an extended plan from the retailer -- it's not worth your money.
No amount of password protection is going to help you if your flash drive falls apart after a little wear and tear. Look for drives made with anodized aluminum outer casings or some other kind of hardy material. If you do go with plastic, at least make sure that any caps feature some kind of tether. It also won't hurt to be waterproof, especially if you're going to attach it to your keychain.