See "more information" section from http://support.microsoft.com/kb/332023:
Many disk devices provide enhanced
performance through the use of an
onboard cache, which provides
read-ahead caching for data that is
being read from the disk, and
write-behind caching (or delayed
writes or "lazy" writes) for data that
is being written to disk. In some
cases, it is important for data to be
written to the physical disk
immediately, and not retained in the
disk's onboard write cache to be
written later during an otherwise idle
moment. This prevents loss or
corruption of this data if the disk or
controller (wherever the write cache
is implemented) suddenly loses power
Write caching improves disk performance greatly, so leave it on for internal hard drives.
Windows turns write caching Off for flash drives and other usb hard drives by default, normally you do not have to ever modify these settings, Windows takes care of it for you.