The Kindle for whatever reason doesn't have removable flash storage. The bastiges.
I have an SD card for my Kindle and all my files are backed up on both my hardrive and a USB stick. The only thing I'm not keen on with my Kindle is that it doesn't support different file types, so since I use it a lot for reading research papers that download in PDF I've had to find a conversion programme. Which I did, and it was free (as well as really simple to use, which is always a boon for me) so it's not a major problem, just a bit of a hassle.