This cannot done directly. The only way to transfer from a USB stick is with a computer as the "middle man" (both phone and stick plugged into a USB port)

 

That'd be pretty cool... kinda like a mini-hd for your phone.

If someone could figure out how to do that, and also have it be an external charger they'd make some coin from me.

Imagine a 5400mhz external battery charger/500gb mini-harddrive

 

I had a micro USB to USB converter for my Palm Treo 800w. I would plug a USB audio adapter to it so i would have a 3.5mm headset jack. It also supported a USB drive. I was able to transfer files to and from my drive to my memory card on the 800w. I will look for that cable and see if it works with the EVO. It shuld be in my truck.
I will try to post a follow up after lunch.