Open up Disk Utility, insert your USB stick. It should list under Peripheral Devices (left side). Click on it.
On right side click unmount volume and then Format Volume (not Format Drive). If only format drive appears and Format Volume does not appear read till last.
A window pops up. In type select FAT, give a name and then hit format. It asks for confirmation, press format.
After formatting press Mount Volume again.
Go to home using the File Explorer (gui, nautilus, home button), or select the drive using unity lauch bar. See if you can create new file or directory. Right click on a blank area inside file explorer (file manager) inside your drive and select properties.
If Filesystem type: says msdos. It is perfect (FAT32), it should work on windows or linux (unless you are trying to copy a file larger than 4G). 4G being limit for FAT. In Disk Utility if you don't see Partition Type: w9 FAT32 and options like Unmount Voulme or if not mounted Mount Volume, Format volume, Check Filesystem, Edit Partition, Delete Partition read on. These options should be shown in lower half below Volumes(thick black above your driver partition gui).
If you only see buttons above Volumes like Format, Safe Removal and Benchmark you have only Formatted the Drive but not created a Volume. You have to create a filesystem in a drive before you can use it.
These all steps seems lame, but if you have missed anything, it might help, if not your USB stick is damaged, get a new one.
Warning: Don't just vaguely format drives under Local Storage (you might have no os to boot into).