Actually, the MAXDrive does come with cheats, of a sort. The PS2 disc used to copy the files also contains a ton of save-games that you can copy over to your memory card. That's how I got the bonus cars in GT3 (Diablo, 911, and the two Stratos's).
But emad said it right.. the games themselves only recognize the memory card for saving games. All you can do with a flash drive is copy them off. Something like a MAXDrive is ideal, because it includes software to do it with.. pop in the MAXDrive's disc, and it brings up a control panel that allows you to copy/move/erase save-games back and forth between memory cards or the flash drive.