Why is an USB thumb drive slow in comparison to a "mechanical" USB disk drive?

This is normal, sort of. It all depends on the type of memory inside. USB flash drives are fast and really great at small file transfers. However, when you say "External USB drive", I take it as it's basically a regular hard drive connected via USB in an external enclosure. These types of traditional hard drives are slower than flash for small files, but as the file size increases, so does the appearance of speed: they can write more bulk data than a cheap USB Flash Drive.

Also, you should make sure that your cheapo USB flash drive is actually USB 2.0 compatible. If it's not, then USB 1.1 is wayyyy slower.

As far as SSD vs USB Flash drives, well it's what's inside that counts. You can actually get USB flash drives which are very fast.

Take a look at this article for a starting point.

EDIT : since everybody is saying the same thing, might as well i have some fun and say something different

What a question - so you expect small, shock-resistant, cheap... AND fast too??

The reason why USB drives are slower than mechanical hard drives and SSDs is simple - the manufacturers made them that way because it's a mass consumers product. And of all the feature-set, fast is the least appreciated by average consumers (they are not going to notice their single Excel document copied over 0.1 secs faster), and the most expensive to implement.

So, what do you think the manufacturers sacrificed? :)