How do I set executable permissions on a removable drive?

I guess your usb drive is formatted with VFAT/FAT32. This file format does not support execute permissions which is why chmod +x fails.

[Edit] Ok, had a bit of a play and search on the net. Lots of 'solutions' suggest that you should change /etc/fstab. This just seems clunky to me, what do you do? change fstab every time you encounter a new usb flash drive???

My solution:

$ sudo vi /etc/udev/rules.d/90-usb-disks.rules

Add the lines:

# UDEV Rules to change the permission of USB disks
#

KERNEL=="sd*[0-9]", ATTR{removable}=="1", ENV{ID_BUS}=="usb", MODE="0022"

$ sudo /etc/init.d/udev restart

Then try inserting a usb drive. There is probably an attribute that you can check for to ensure it's a FAT formatted drive if you wanted to be more specific.