USB drives support two basic formats: floppy drive and hard drive. A USB floppy drive consists of one large formatted drive. In contrast USB hard drives contain partition tables and one or more formatted partitions. If you purchased a thumb drive and never formatted it, then it is most likely configured as a USB hard drive with one large partition.
Even when you have decided you would go with free formats and applications, you can end up owning a device that only plays restricted multimedia formats (and do not wish to spend more money until its time to get a another one reading free and open-source formats), want to watch a DVD you’ve rented or bought, some videos on the intatubes, use some Microsoft fonts to share work documents with colleagues etc. The world is not perfect :)