Just checked a 2GB and it's actually in FAT, not even FAT32.
Same for a 1GB, so it looks like the supplied format for models of 2GB or less may be plain old FAT.
Of course, you can reformat to FAT32 or NTFS.
For flash drives of 4GB or lower, I'd be inclined to go FAT32, since there is no maximum filesize issue.
For larger, if you know anything you use it with will have NTFS support, then NTFS is one way, otherwise FAT32 (and accept the 4GB file size limit).
Similarly, external hard drives are usually FAT32 as standard, so the file size limit may bite you if transferring a full size DVD ISO or a large single archive or DVD chunked archive.