
Give it a name and choose MS-DOS (FAT) under Format and GUID Partition Map under Scheme.


Warning: Everything on your drive will be erased when you do this! Others don't have any strict requirements, but formatting to FAT beforehand is a good idea regardless. Generally speaking, anything above 4GB will do the job. Some Linux variants may require larger volumes, so pay attention to the requirements when downloading. When you're looking to create a bootable Linux USB drive on a Mac, the first step is to make sure you've got the right USB drive for the job, and that it's formatted correctly to avoid any problems.
