Notes about size
1 GB is enough for a live USB flash drive made from a 'CD size' iso file. But unless you already have a 1 GB drive, you are recommended to get one with at least 2 GB, hence the general recommendation above.
2 GB is enough for 'CD size' iso files as well as many but not all 'DVD size' iso files.
If you want a persistent live system with a decent size casper-rw storage, you need at least 4 GB (2 GB is possible, but might soon run out of space).
If you want an installed system you need at least 8 GB (4 GB is possible with Lubuntu, but might soon run out of space). In the beginning of 2014, it seems that there are no really fast pendrives below 16 GB. If you want a fast system, install it into a pendrive that performs well in a test, even if it is 'bigger than necessary'.