Best format for external HDD for compatibility with Windows and Mac?

I have a couple of USB HDDs formatted as MS-DOS (FAT32) which I use on both my iMac and Toshiba laptop .
This week I discovered that I could have used exFAT which would have avoided the 4GB file limitation.
Apart from this, are there any other pros or cons associated with exFAT and would it be advisable to use this formatting in future?

I am cross using extern HDD and USB Stick's. Win7 64 and OSX 10.9. I had the best results when i format the drive with OSX (best cluster size by automatic). I am using small 16GB USB Stick's and large 2TB HDD.
Some Windows Programs does not work if they are not installed on NTFS and you also have no security on both systems in filesystem because exFat has no security. Could be also a bad idea to use a exFat drive for iPhoto Library but not tested.
I use exFat for Data like Music, Pictures, and Movies. To share home made things with friends and family.
If you use "active" Files like programs or databases use the "OS Native" filesystem, you have less problems :-)

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Mac-formatted FAT32 external drive: cannot read with windows

I'm posting here in the hopes that it's a mac problem. I have 2 external drives, each USB and each very large (120+GB each). both contain a few files larger than 4 GB each. I formatted each drive using my Mac, one in Leopard and one previously in Tiger; each is FAT32 formatted and can be read easily with my Macbook in Leopard. I also have a 4GB flash drive that is FAT32 formatted, which was formatted using my Macbook.
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You cannot give yourself full access when connected like this. It is not supported. the only way to access an NTFS device with write privileges is while it is connected to a Windows host. This is because your Mac doesn't know what to do with the ACL information. While it's connected to a Windows host, you can get at the share and use the host's information to authenticate to it.
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*if i format it on a pc then when i reconnect it ill just have to format it again to sync with my library? arghhhh!*
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I shall paint the picture;
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A 160 GB drive may be a bit small to use to back up a 120GB drive with TimeMachine... and have a separate partition to use for Windows files. While your MacBook Pro's 120GB drive may not be close to full yet... it will likely continue to grow in time. TimeMachine keeps multiple copies of files that you change allowing you to go "back in time" to various points. It will use as much space as is available on the drive. You may want to keep a larger external desktop drive for your TimeMachine backup... or dedicate your entire 160GB to it.

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