I suppose it would be possible to connect a USB storage stick (search for host mode), but AFAIK, no one's tried booting from one yet. You can boot from SD card, which seems much more practical to me.
I'm not too sure that you'd want to - suppose it comes loose, or there is a random power-related problem... not too bad if you are just accessing files off it... but a bit of a problem if you are booted off it.
