About the size of a normal flash drive, but instead of a USB connection, the Streaming Stick has an HDMI connection that can plug into an MHL-enabled HDMI port that is becoming available on a number of new TVs. In other words, you just can't plug it into any TV with an HDMI port - which is a bummer, as that would have been a really great way to add internet streaming capabilities to older HDMI-equipped TVs.
For those that are able to connect the Streaming Stick, it has built-in WiFi and the needed hardware and firmware that allows navigation of the Roku user interface and access to an abundance of online streaming content without the need for an additional set-top box. For more details on why this may be a game changer for internet streaming access for many consumers, read the official announcement from Roku (pdf view or download). Photo © Roku
UPDATE 8/1/2012: Roku Announces Streaming Stick Partners (pdf view or download)
UPDATE 9/20/2012: Roku Announces $99 Price, October 2012 Availability, and compatible TVs for Streaming Stick (pdf view or download)