I've got one of these drives, it's a pretty cool idea, but I haven't put any additional software on it yet. A couple pieces of software you can put onto the drive is a self-contained Firefox (version
~1.01.5.0.1) and FirebirdThunderbird.
When you insert the drive into the computer, it'll add 2 drive letters (1 for the U3 stuff, 1 for the files), it also adds an icon to the system tray. Clicking the system tray icon opens a start-like-menu that has the various programs that you have. It could be very useful, but so far I've only used the menu to open the drive in explorer. It's also has security/encryption that could offer protection if you loose your drive or something.
I'm actually editing this post using the newest Firefox available (running from my U3 drive). Pretty cool![/edit]