Recuva is free and works
Recuva - Undelete, Unerase, File and Disk Recovery - Free Download
If that can't find the lost data then I use the two variants of GetDataBack
That's chargeable, but you can run the the free trial to see if it will actually find anything. You can buy and activate after the scan has finished
Comes in two flavours - for NTFS and FAT. Normally you just need the NTFS version though I find sometimes on a badly trashed NTFS disk you need to use the FAT version if the partition table is wiped
Data Recovery Software Products - Runtime Software Products
Word of warning though - memory stick data loss is usually because the drive has physically failed, not because the data is corrupted