but you can also have them formatted in NTFS to use the compression feature and file encryption provided b windows, and also, the ability to use quota management if ur drive is used by some particular users.
to do this, follow these steps-
1.) Right click on My Computer>Properties.
2.) On the Hardware ab, click on Device Manager Button.
3.) select your pen drive from the list of storage devices listed.
4.) Right click on the pen drive, and click Properties.
5.) Now in the Policies tab,check the Optimized for Performance.
6.) This will enable the NTFS file system when u try to format the drive normally.
u can now use NTFS on ur pen drive also, bt there may be a compatibility issue on the OSs which do not support NTFS, like some of Linux vendors, so do manage these things.
And, After doing this, please remove ur pen drive by choosing Safely Remove Hardware option only, and not by just plucking it out from the USB port.
In win xp, this safely remove.. option will get highlighted in the system tray when pen drive is plugged in.