Let me add, that the speed is determined by the actual connection. The flash drives are usually USB 2. This is a slow (or at least, nowadays slow) connection, although mjf's numbers look way slow to me, my SanDisk Cruzer something gives 20 MB/s on average, but that's besides the point. Internally, both the HDD in external drives and flash memory are way faster than USB 2, so that's your bottleneck.
Personally I use external HDD for backup and storage, and flash drives for smaller files, video (to play on Blu-Ray player) and so on. I use external HDD with eSATA connection, that's way faster than USB 2. In fact, I can't understand why most external drives sold on the market are USB 2 instead of eSATA. Now comes USB 3, it's faster than eSATA but not by much. In any case, the theoretical speeds of both eSATA and USB 3 can probably only be achieved on solid state drives, as usual HDDs are slower than that.