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.
When, in June 2006, Ubuntu Dapper Drake was released, it introduced a very exciting new feature: the ability to run it from a USB drive (also pendrive, USB bar or memory stick). This would work just like a LiveCD, with the big improvement that all your data could be saved onto the USB drive! This means not just your documents, but also e.g. network settings or your desktop background. You were practically carrying around a fully-functional operating system on your USB drive!