Just bought my first iMac, quick question about bootcamp

Hello,
I'm finally upgrading my 6 year Dell with a new 27" iMac.
This is my first Apple desktop, but I will use bootcamp to have the ability to boot into windows (since I still use windows for work and still have a lot of windows programs I use)
My question is related to an external harddrive.
I'd like to have one external drive with all of my media type files (music, videos...etc) and share the drive between to the Mac and Windows bootcamp partitions.
Can anyone let me know what is best way to format the drive so it can read/write on both Mac and Windows?
Fat32 probably would work because I don't think I have any files larger than 4GB, but what about the ExFat format. Is this my best option.
I figure I'd ask the experts so I don't have to reformat the drive multiple times.
Any help is greatly appreciated.
Thanks

The best thing is to format the drive NTFS or OS X, then get third-party software to enable compatibility. For example you can use NTFS for Mac 10.0.2 or Tuxera NTFS 2012.3.6 to enable write capability to an NTFS formatted drive from OS X. From Windows you could use MediaFour's MacDrive software that enables Windows to read and write an OS X formatted drive.
NTFS maintains the highest level of compatibility when moving files back and forth.

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