How do I transfer files from pc to mac using an external drive?

I get the that I copy files from the PC to the external drive and then copy to mac. What I do not know is what format does the external drive need to be? FAT32 is somewhat limiting.

I don't do Windows, but Macs can read & write ExFAT, too.
If the PC has an app that will format & write any variant of Mac OS Extended, those are native to Macs.
You can also transfer via network, if that's convenient.  See the Use a Network Connection section under Manually Migrating in Switch Basics: Migrate your Windows files or system to your Mac.

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