Possible in theory, but you'd need a custom kernel that provides USB Host mode, and probably a custom cable.
Edit: It's even
fiddlier than I expected, even. Not only do you need a custom cable, and to provide power to the USB drive in question, but you also need to change kernels to go BACK to USB slave mode -- ie: to be able to mount your Desire on your PC to copy files, &c.
So when you want to read stuff from a flash drive, you flash the USB host kernel, pull out your gonzo cable, copy a file or two, then flash the kernel back when you want the phone to go back to normal? Not worth the trouble, I say.