Most memory sticks & flash cards are simply fat16 formatted. Tons of programs out there can recover the data. The biggest thing you have to do to ensure the best possibility of recovery is to *NOT* write any data to that disk. Put it aside until you figure out your gameplan.
A nice windows package I've used before is called Filerestore from
Winternals. Last year I used filerestore to get images back from a friends flash disk. He's a professional photographer, and he had some photos of the band Whitesnake which were to be used on their tour program. Somehow he deleted the images, and the deadline for the tour program was upon him, so he fedex'd me the disk, I recovered the images in 20 mins, burned them to a cd, and fedex'd the disk and cd back to him.
Back in the 'old' dos days, I used to just dump the sector-by-sector contents of the disk to a file either another disk or on a hard drive, then look for individual header/footer data and save the chunks out to their respective individual files. Norton Utilites v4.5 was an awesome tool.
A lost art these days, unfortunately.
-Tommy