Well, since I barely ever take my laptop out of the house, I use a network hard drive that hooks up through my router.

Really nice, because I don't have to have a USB cord hanging off my computer all the time. The speed might not be quite as fast as USB though, it plays music off the drive just fine but video is a bit choppy so I have to copy to my laptop's hard drive (takes about 10 minutes to copy over a regular movie) then I just delete the copy off my laptop's hd when I'm done watching it.

This is what I got (250GB version):
Network Attached Storage - SimpleTech SimpleShare