All USB sticks come formatted as FAT. But FAT can't store large multi-gigabyte files. Does anyone see any problems with formatting a disk in NTFS? I can't come up with a reason not to...
-superboyac
you can always use an archiver like winrar that can split big files into chunks of 4GB max. And keep the FAT32 format.
-MerleOne
(Obviously) not if you want to use the files directly, though - like large .WIM files for Windows installs, or HD .MKVs for playback on a media thingamajig 
I've used NTFS-formatted pendrives for a while, and they work fine (as fine as those unrealiable POSs go, anyway). Only trouble I've run into is that NTFS is read-only on OSX, so you can't use it to get data from loose-wristed coworkers :-)
-f0dder
Sure, but when clicking on the .rar file it will uncompress it to a temp folder and run it from there. Less efficient but it would still work - you still need winrar installed I think.