Although flash drives "work" with both, PC's don't know what to do with HFS+ volumes and FAT32 cannot accomodate certain filenames. So it would indeed be interesting to be able to make a hybrid stick, just like you can make hybrid CD's.
true - all USB flash drives come formatted as Fat32 volumes, usuable on both PCs and Macs.
If you really want to do this. Disk Utility can make 2 partitions, initialize one as PC format, and the other as Mac OS Extended. The Mac can still use both partitions, but a PC will only access the PC formatted partition.