What type of files? If you're saving lots and lots of HD videos you'll need the largest capacity available (which, to the best of my knowledge, is 256Gb).
However if you're only backing up things like Word documents you only need perhaps 2Gb. (Actually you could get away with far, far less, as the entire Encyclopaedia Britannica only takes up 1GB, but 2Gb is about the smallest size easily available these days).
If you're transferring very big files (like those HD videos I mentioned) and you've got a modern computer (with 'USB 3.0' ports) then it would be best to buy a memory stick which supports USB 3.0. It won't make any noticeable difference if you're only backing up Word documents though.
Other than that, you can ignore any technical stuff. Just look for an appropriate size and (perhaps, if you're handling very large files) whether 'USB 3.0' is mentioned.
A whopping great 256Gb pen drive will set you back around £70 but a little 2Gb one shouldn't cost more than £2 online.