Physical Protection of Data

It seems that usb flash drives fail on me more often than they probably should. This especially frustrates me because I'm often too paranoid to make backups of any of my sensitive (but not necessarily important) data, and so I find myself data-less at the least convenient times.

Most recently a live disk with some important encrypted files on it refused to display itself to the PC. I touched it to see if it was inserted properly, and it was so hot it burnt my fingers. It also smelt burny so I figured it safest to just destroy and dispose of the whole thing.

Is it dangerous to keep flash drives in pockets? Should I be throwing more money at drives of higher quality? How sensitive are they really, don't people put them on key chains? Do I just have bad luck?