GLIM is a set of grub configuration files to turn a simple VFAT formatted USB memory stick with many GNU/Linux distribution ISO images into a neat device from which many different Live environments can be used. My experience has been that the safest filesystem to use is FAT32 (surprisingly!), though it will mean that ISO images greater than 4GB won't be supported. Other filesystems supported by GRUB2 also work, such as ext3/ext4 and even NTFS, but the boot of the distributions must also support it, which isn't the case for many with NTFS, for instance. So FAT32 stays the safe bet.