have an 8gb one and it's fine.
is it a new one you're trying or an old one that used to work ok?
if it's a new one, ensure it's formatted as FAT32.
if it's one that used to work, does it work ok if you plug it into a PC? (just to check the usb stick still works and you can access the files)
does the usb slot work ok in your ps3? e.g. can you plug the controller charger in there and it charges ok?