What format do I format a pen drive in for use on Mac

Hi
My USB pen drive has somehow got corrupted from using it in both windows and MAC  -  I want to erase and re-format it disc utility but I dont know which format option to choose.
I would lke to be able to use it in both windows and Mac machines.
Thanks

Hello again
Thank you for that suggestion - I have tried it but still ge the message: 
"Unable to write to the last block of the device"
Any other suggestion greatfully received!

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