How big is the thumb drive? If it's 2GB or greater, go for FAT32 or you'll encounter issues where the machine acknowledges there's space there, but it will treat it like it doesn't exist when it comes to writing files (reading would still work).
I had this sort of issue with my mp3 player - little 2GB device, formatted to FAT16. I could see the full 2GB (in both Windows and linux) but neither could write past around 1.18GB - the device would be listed as Full. Formatting to FAT32 eliminated this.