For music (mp3s, oggs and internet radio) I like rhythmbox, but it's all
a matter of personal taste I suppose.

There should be some sort of GUI thingie for that, but you can always
drop to the command line and use mkfs with the appropriate options for
the type of filesystem you are creating. If you just want to format it
as vfat, I think mtools provides a way to do it with the mformat
command, but I haven't used it in awhile so I'd have to have a peek at
the man page to see how to use it for removable media.