Pros to installing ESXi on a USB stick are:
- Occupies little space
- Don't need to consume one or more physical disks freeing them up for storage needs
- No risk of interfering with presented disk extents
- Logs will not be persisted to flash-based media and must be written to an alternate location
- Generally higher degree of failure than other media
Any USB stick can be used, but I would strongly urge you to purchase one from a brand of high repute and not one dollar drive from the Wal-Mart check-out lane. Flash cells aren't created equally and cheaper media can and will fail faster/easier than better media. SanDisk is a brand that many enjoy. I typically prefer to install ESXi on flash media such as a USB flash drive or SD card, and in many years of doing so I have only seen a couple failures with aforementioned quality media.