Formatting a new flash drive: what format?

I got a new flash drive and I was wondering how I should format it. My previous one from windows is in Fat32 and I have no problems with it.
Would I have any problems if I formatted this drive to HFS+ if I needed to use it on a windows machine? Should I just go with Fat32?

There is really no reason to reformat it as it is already likely FAT32. As such, it can be read by almost any computer.
The file and volume size limitations of FAT32 do not come into play with a flash drive due to its smaller capacity.

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