It could be that your USB stick shares its guts with a SD card.
Anything 2gb and under is fine, but over 2GB is actually SDHC which is a different format.
I have lots of SD cards, and only the 2GB and smaller work on everything.
All by 4GB+ cards will only work by using another device (camera etc) masquerading as an external HDD.
I have the same problem with Memorystick Pro cards which I have you use inside my PSP.