As nova said, if you have all large files (like video files) get the largest cluster size you can to improve performance (I believe that 4MB in NTFS). But in the case of NTFS, that would mean a 500 byte text file would still take up 4MB of space :laugh:. So as you can see, if you aren't dealing explicitly with large files, its very impractical.
However, just the opposite is true. If you have millions of tiny files on your comp, you can get the most out of your harddrive by choosing a small unit (I believe on NTFS it is 256 bytes).
The default for NTFS is *I believe* 4KB. So just see what your putting most often on your thumbdrive. If its just miscellaneous, just use the default.