People are only giving half replies.
The PS2 only uses usb 1.1 ports, therefore can only supply a small amount of power. The USB drives we have need power from USB2. This means that the loading is slow and particularly stressful and intense parts of games will stutter (Kingdom Hearts opening scene is a prime example). To remedy this you need to do one of two things, both requiring an ethernet adapter (they're so cheap you may as well, I got mine for a tenner).
- Use SMB sharing through ethernet, with all of your games contained on your PC.
- USe a hard drive internally in your PS2.