flash memory does not need to be formatted. It's usable out of box. PS3 60GB supports USB thumb drives, SD, Compact flash, and oviously Memory stick.
You can use mini SD and Memory Stick Pro Duo by using an adapter which sometimes comes with it.
Only hard drives need to be formated to FAT 32. I heard it's possible to use a USB hard drive with PS3. But i never tried it out for myself. My USB HDD is being used for my Windows stuff and is in NTFS because it's one large partion and FAT 32 can't handle partions that are too large, it will waste a lot of space. Then there is NTFS permissions and encryption you can use to protect files on NTFS.
Sony can't use NTFS because it belongs to Microsoft. The only format they can use is FAT 32.