This sounds like more of a product promotion tie-in than a technological breakthrough, but the new SanDisk U3 Cruzer Smart Drives have Skype loaded in. You can keep all your contacts, account info, and the Skype program on the disk and use it on any old computer you visit—provided that computer has a mic and speakers.
If you're going to buy a thumb drive, say for your parents, you might as well get one that comes with Skype. SanDisk Cruzer Micro Sizes range from 512MB to 4GB, and cost $39 to $199. SanDisk Cruzer Titanium are 1GB and 2GB and cost $74 and $119 respectively.
Press Release [SanDisk - Thanks Bruce!]