We are still playing with all the features of the Samsung I9100 Galaxy S II. Right now, I am plugging every thumb drive and card reader we have laying around our office to test the USB On-The-Go (OTG) functionality. I used an adapter from Samsung for the tests.
Thumb drives were a hit or miss affair some worked, others did not. The ones that did not were rejected as "high-power USB devices", which the Galaxy S II does not support. The card readers I tried all worked (even using big CF cards), you just have to make sure to put the card in the reader before plugging it in the phone.
Video Below!