There really is no reason most any pen drive won't work 'with a little tweaking'. There are several factors involved. Knoppix 3.1 generally has these covered but you might have to add somethng to the unusual devices file. Anything not covered isn't really a fault with knoppix. The 2.5 kernels are supposed to have better USB hotplugging capabilities.
Here is a vendor I.D. list http://www.linux-usb.org/usb.ids
You may need this to add a drive to the 'unusual devices' file.
Here is a link to several 'working devices'- do a search both by manufacturer & pendrive et. Remeber that a pen drive is really a flash memory drive.
Of course there is always http://www.linux-usb.org

If you really want to understand linux & USB do a little reading- it's worth it.

edit
Also keep in mind that to mount a drive it must first be formatted. If you buy a new drive don't forget to format.