Problems copying large files to external disks

I have a lot of media and so multiple USB and network based external hard disks.
I'm having trouble with two in particular that are recent buys. I initially mounted them via a USB hub onto my Time Capsule, but when I had errors, I've now tried mounting them directly to my MacBook Air - and for comparison directly to a Windows laptop.
And I'm only having problems when it's a Mac doing the copying (MBA to either USB mounted via Time Capsule or directly USB mounted on the MBA).
The problem is that the drive appears to behave OK for initial copies - but I'm trying to put a set of old movies (captured from a VCR ages ago that I'd recorded off TV) onto one of the drives and (a) it takes ages to copy and (b) eventually I get a write failure. The specific error message is
The Finder can't complete the operation because some data in "" can't be written. (Error code -36)
I"ve tried a whole variety of setups - as I've said via Time Capsule and directly mounted. I also wondered if the file system on the drive would make a difference. Out of the box it was formatted with FAT32 and when that failed I've now reformatted with MacOS file system - which I would have thought would give better compatibility (and I've read that FAT32 has a large file size limit - although I think it's 4GB and while I do have one file at 4.04GB, it's not failing the copy on that file).
I've also connected the drive (when formatted FAT32) to a Windows laptop and (a) it copies faster and (b) it copies successfully.
Any suggestions for this? Is there some kind of large file (all are >1GB) copy issue with USB mounted devices in OSX?

As I mentioned in my original post while the disks were originally formatted FAT32 I reformatted then and changed them to Mac OS Extended (Journaled) so that isn't the issue. I still have the problem with the disks using Apple format.
I've noticed that if I do the copy in pieces, it seems to work. I.e. if I select the full set of 45GB in one copy and paste operation (dragging and dropping using Finder) it fails part way through.
But if I copy 3/4 movies at a time going back until I have copied all of them then I can get all of them on the disk.
It suggests to me it's some kind of issue with copying and pasting a very large amount of data in Snow Leopard?

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