Formatting external drives (flash drives and external HD) for use in Mac and Windows environment can be quite confusing. Here is some info I put together:

NTFS
Windows (XP+): read/write
Mac: read*

Note: There is an option to activate writing to NTFS partitions in Mac, but it’s not stable and can corrupt files.

FAT32
Windows (XP+): read/write
Mac: read/write

Note: Seems to be the most compatible (also with older versions of Windows, Linux, etc). Limitations: Max file size = 4 Gb / Max partition size = 4 Tb.

ExFAT
Windows (7+): read/write
Mac: read/write

Note: Best options for flash drives. Limitation: not ideal for hard drives (unless solid state drives) because it’s slow in these cases.

HFS+ (Mac OS Extended)
Windows (7+): read*
Mac: read/write

Note: Windows 7+ can read, but only by using a free program called HFS Explorer or installing Apple bootcamp drivers.

Summarizing,  for bigger flash drives and solid state external drives, ExFAT seems to be the best option (although it might not work on older versions of Windows). For external drives, I would choose either NTFS or HFS+, depending on what OS you use most, and add a small partition in FAT32 to be able to read/write in both environments, and in case of HFS+, containing the necessary drivers to read the drive in Windows.