Can you put video files on a USB stick?

I'm considering buying an external memory drive and putting all my media files on it, but then I thought I could get a memory stick and just put some videos (none much bigger than a few MBs) on a 16GB USB stick to relieve my laptop a bit, instead of splashing out on a large amount of external memory. I just want to double check that videos (flv, mpg and wma) will transfer to an ordinary flash drive stick ok. I'm not great at that sort of stuff. Thanks!