The StickOCZ's rally uses a sleek aluminum casing which feels very solid and can sure take some beating, compared to the cheap plastic other manufacturers use.
I wonder why OCZ chose to make a stick with a cap. Those little caps tend to get lost in your desk mess quick. Some other manufacturers use retractable connectors which I prefer. However, once you have the cap on the stick, it fits well, and I doubt you can lose it from there.
When the stick is connected to the PC a blue light in the back indicates its use. When data is transferred to and from the USB stick, the light blinks.
To give you a size comparison how tiny the USB stick is, I put it on a CD. Many sticks do not fit into cramped USB Hubs since their dimensions are too big. If you can plug a USB cable in, the OCZ Rally will fit as well.