There are a few brands of USB Flash drives out there that will be unusable after formatting (generally because the manufacturer has done something non-standard in the USB flash drive). However, I have personally formatted several different USB flash drives and have not had any problems.
I've been able to format Kingston, SanDisk Cruzer, and Patriot USB flash drives. I've even installed syslinux to one of them and made it bootable.
If you do format one, however, I would avoid the NTFS file system. Use FAT16 or FAT32. NTFS uses a lot of space on the flash drive for the MFT, and the NFTS journal file is involved in constant writes to the drive, which could shorten the life of the flash memory.