Method #1 (The Graphical Way)
Open Disks program from dash:

Then choose your device from left. Make sure you have selected at least one volume, and click on format as below:

Method #2 (The Command-Line Way)
In case you can't get your device formatted from Method #1 try this way.
Open the Terminal (Ctrl + Alt + T)
List your block storage devices by issuing the command lsblk
Then identify your pen drive by it's SIZE. In my case its /dev/sdb

Erase everything in the pen drive (OPTIONAL):
sudo dd if=/dev/zero of=/dev/sdb bs=4k && sync
Replace /dev/sdb
with your corresponding device. This will take some time. It will pretend to stuck. Just be patient.
Make a new partition table in the device:
sudo fdisk /dev/sdb
- Then press letter
o
to create a new empty DOS partition table.
Make a new partition:
Press letter n
to add a new partition. You will be prompted for the size of the partition. Making a primary partition when prompted, if you are not sure.
Then press letter w
to write table to disk and exit.
Format your new partition.
- See what is your new partition with a command
lsblk
In my case it is /dev/sdb1
