How to format external drive as NTFS?

I have a lot of files on my mac, and my external drive is formatted in FAT32. I can't put files larger the 4 GB on there. How can I format the drive as NTFS? All help appreciated!

Also note that even if you do use a Windows computer to format the drive as NTFS and then put it back in your Mac, you can't write to it without installing third party software. As installed, OS X can only read NTFS.
As Niel noted, Mac OS Extended is the best choice, as long as there's no reason for the drive to be accessible from a Windows computer. If it must be NTFS, then you have these choices for the Mac to enable write access.
A commercial product is Paragon NTFS for Mac.
There are now two versions of the open source NTFS-3G software for OS X. NTFS-3G is the free version, which only works with the 32 bit boot kernel. This version also requires installing MacFUSE. A separate component needed for the free NTFS-3G software.
Tuxera, which provides the funding for the free NTFS-3G has their own paid version. Tuxera NTFS for Mac. This version supports both 32 and 64 bit boot kernels. But NOT the newer 64 bit only kernel of some newer Macs. Tuxera's version eliminates the need for the separate MacFUSE installation, and is faster at accessing NTFS drives.
Edit: Checking Tuxera's site, it looks like they've fixed the issue with the newer Macs which will only boot 64 bit. The note they had on their site at one time about it not working seems to be gone.

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