Use the Gparted application for this. If you don't have that installed, then in a terminal (CTRL+ALT+T to open a terminal):
sudo apt-get update then press the Enter key and type your usual Ubuntu password (you won't see any characters echoed to the screen for security reasons), then
sudo apt-get install gparted. Then insert your USB device and open Gparted and select the USB device in the drop-down list at the top right and do the necessary - see screenshots below in order of what is to be done. My USB device is listed as /dev/sdc.
Make sure you choose the right device - Gparted will also list the hard drive(s) you have - and you don't want to format those as you'll lose everything on the drive(s) if you format them **
- Select the device
- Unmount the device
- Format the device with the filesystem of your choice. If you're only going to use this on Ubuntu then ext4 is a good choice. If you will use it on other operating systems then fat32 is a good choice.