Pelikan makes watertight cases in various sizes (the largest are too heavy to lift alone. But they also make those little "micro" cases. I use the 1030, 1040 in red and yellow with a clear top to put HD and other fragile stuff (Epson P-3000) in, as well as cleaning accessories, manuals, etc.. The clear cover is great to check that you acually have a drive inside and the cable that goes with it. Anyway, they are small, cheap (+-US$10) and well made, besides being shockproof and watertight, so they just slip into my North Face Jacket or my backpack when i leave the studio. So if some mean spitrited person snatches my bag i still have the shoot files on me (Besides of my originals on the CF cards in my pant pocket).
BTW, i just got some Sandisk Extreme IV 8GB for an upcoming assignment. I tested them against the Extreme III version with the new Sandisk FW 800 reader: 1min45sec versus 1min13sec for the new guys on the block (about 1.1GB, 103 RAW only captures with my 1DS M2, downloaded onto a MAC PB G4 1.67Ghz, 2GB Ram, my location computer), love it. I usually shoot about 400 captures so we save about 2min download time at the end