Finnish computer-magazine Tietokone aims to find out. Most fail at small handguns, but Pretec's round drive actually shrugged off a .357 Magnum with no problems.
It got dented with a .44, but totally disintegrated when they shot a .500 at it. That's probably as strong as you're gonna get with a "bulletproof" thumb drive, so we wouldn't recommend stringing up a bunch of them and wearing them as a bandolier, Worf-style.
Pretec [Tietokone - Thanks Lauri!]