FAT32 has a maximum file size limitation. Here's the wikipedia on it so I'll not write further why. See "Max File Size" at http://en.wikipedia.org/wiki/File_Allocation_Table

Next I want to share that USB drives with FAT32 volumes are showing up in piles because of complaints of file loss or total wipeouts. FAT32 while good for exchanging from MAC to PC and back is not robust.

I strongly suggest you convert it to NTFS if you want those files to stick around.