This USB device contains OS X Lion. I see a lot of people falsely saying you can make one yourself, but you can't. You can put the OSX Lion installer on a USB drive.
A couple years ago I was TDY in a location with crap for internet. Let's say I had to go back there, or let's consider the other Mac users who have to go.
If they read the false info telling them to make their own recovery USB drive with Lion on it, and do so, they'll be in big trouble when they get there and realize they're self-made USB drive only has the installer and they still need to download Lion itself.
However, if they buy this drive, they can install Lion without connecting to the internet.
I'm not sure why the downloadable Lion can't be put on a USB drive, maybe it's a piracy issue. If the app store version could be copied to USB and distributed freely, it wouldn't take long before the .dmg was on every torrent site. maybe the store-bought drive has DRM measures.
Personally, I think it's good to have this option. I downloaded Lion and don't have a need for this installation so far, however being an indie game developer who's thinking of making commercial arcade games with mac hardware, it would be nice to be able to install Lion on the many machines I will be putting out in public without having to enter my Apple ID and password into each.