Microsoft suggests "certified drives" for http://www.microsoft.com/en-us/windows/enterprise/products-and-technologies/devices/windowstogo.aspx, but it appears that other than confirming that these drives work with Windows To Go they are no more secure as it relates to Windows To Go support than any other drives that would support Windows To Go; meaning while the drives might be more secure, they are not explicitly more secure than another drive with the same features that is not Windows To Go certified.
What is the difference between certified and non-certified drives for Windows To Go?