Mac – How to access USB flash drive in VirtualBox

In Disk Utility select the drive that you want to partition, then the Partitions tab.

To make FAT and ExFAT available in FORMAT you need to change Volume Scheme from Current to 1 Partition.

You might also want to check under Options... that the partition scheme is Master Boot Record. I've happily formatted a USB to FAT32 using the Apple Partition Map (a hangover from creating an Ubuntu Live USB). My Mac would happily read the resulting FAT32 volumes but Windows of any flavour refused to read it.

For Windows, see this article : Boot your USB Drive in VirtualBox.
For Linux, the same approach is described in : How to boot from USB in virtualbox on Ubuntu.

The approach is to attach a physical drive to a virtual machine using the VBoxManage command-line tool that comes bundled with VirtualBox. You can then boot your virtual machine from the attached Physical drive.

Alternatively, and only for Windows, Linux Live USB Creator (formerly uSbuntu) is a free software for Windows that allows you to create a bootable Live USB key with a Linux on it. It offers the option of automatic virtualization using portable VirtualBox to directly run Linux in Windows without any configuration nor installation.